Yea, try doing what Jam said, that usually works. Also check your administrator permissions in the control panel and if you do not have admin controls then that is prolly why. You should however have admin controls if you are the only one account on the PC. If not, then either give the controls to yourself or if you dont feel like it then live with a white background

But the admin thing should work. Also again, try saving a picture from the net and then instead of going into the control panel, right click your desktop and then go into desktop and then, dont go into the wallpaper folder, try going into a seperate folder with pictures that you saved.