If others are changing your desktop image, they are probably changing other things as well, including files/folders/software.

If its your PC, lay out the ground rules for others who use it. But first, as already mentioned, password protect your account. You can do this by goint to Control Panel > User Accounts > click on your user account name > Create A Password.

Also, if other are sneaking onto your computer while left unattended, you can set up a password onto your screensaver: Control Panel > Display > Screen Saver > tick On Resume Password Protect in the box.

You may need to write down your password and store it in a safe place in case you forget it.

After you do all this, run a full system Virus and Spyware scan to be sure your PC is clean.