try tweek ui free from microsoft as there are settings in that for wallpaper etc.
look in c:\\Windows\Web\Wallpaper directory for any likely candidates to remove check the dates for each file and if you know the date you downloded the particular file then delete it.
also its possible that you have downloaded something else such as a spyware or trojan,
some other tools such as ASquared or Ewido should clear up any problems if there are.
a free trial from here
download a free trial from
copy these links into your browser then download and update each product before running