Delete the following registry key
HKLM\SOFTWARE\Software\Microsoft\Windows\CurrentVersion\Policies\System\
Key Name: Wallpaper
Key Name: WallpaperStyle (I rarely see this one)
Just in case you should check: If you find it here you should check all the different users.
HKCU\SOFTWARE\Software\Microsoft\Windows\CurrentVersion\Policies\System\
Key Name: Wallpaper
Key Name: WallpaperStyle (I rarely see this one)