>>I'm stuck at a client site with an XP machine today, so I can't tell you exactly.
>>
>>I think it works like this..
>>
>>http://www.nirmaltv.com/2009/05/03/how-to-change-desktop-wallpaper-quickly-in-windows-7/
>
>I only have one wallpaper so I do not think this is the factor here.

Who knows? Windows might be still cycling between all selected wallpapers (in your case, just one) anyway.