I have the same problem on my home PC. I loaded a copied version of Deus-ex (a game) and ever since then I can not keep the change to my desktop background. After I restart the computer, 2 mins later it sort of power surges and defaults back to the normal xp background, Themes wont hold either. The other 2 users on the computer have no problems.....just me. I fiqure it is in my settings somewhere. I even put updated drivers in for my video card......but it still happens. Someone must have a quick fix.
