Without knowing what type of computer and setup you have, it might be difficult to know.
Is your wallpaper from a pic off the internet? You might try downloading the picture to MyPictures and then adding it as your background. It might be that your computer is deleting temporary internet files upon shutdown and taking your pic with it.
Do you have a theme set up on your computer? That might also be booting your pic upon shutdown.
Is you version of windows legit? (Sorry have to suggest it) Windows might be canning the pic also upon shutdown.
Is your anti-virus up to date? Could also be a problem there, though you'd have more than background issues with that one.
Are you running Windows XP? Make sure you have the latest service pack.
As you can see, could be a bunch of things. Try the first option first if it's a pic on-line.
EDIT: Also try posting this or having it moved to the AV/Tech forum...probably some better computer savvy pepes than me over there.