Over the past two weeks, I've seen three pieces of malware that alter the display properties in Windows XP. In each instance, I was able to get rid of malware with Symantec AV 10.1 and then Avast Antivirus 4.8. But the display properties remained changed.
In one instance, it created a strange screen saver that emulated a BSOD. In another instance, it changed the wallpaper to a spyware warning. But the weird thing is that if you go to the display properties, the necessary tabs you need to reverse those problems are gone.
Best course of action is to use this wallpaper hijacker remover:
Here is what an altered wallpaper looks like: