Hi Anatoliy,
I tried the same code and the result is 1 (no error) but no change takes effect. Using VFP7 SP1 and VFP8 on W2k SP3:

nresult=p3()
IF nresult = 0
   ? 'Error:', GetLastError()
ELSE
   ? 'Result: ' +ALLTRIM(STR(nresult))
ENDIF

FUNCTION  p3
   * setting a wallpaper
   #DEFINE SPI_SETDESKWALLPAPER    20

   DECLARE INTEGER SystemParametersInfo IN user32;
      INTEGER uiAction, INTEGER uiParam,;
      STRING @pvParam, INTEGER fWinIni

   LOCAL lcWallpaper
   lcWallpaper="C:\winnt\haley.bmp"  && I know this exists

   nresult    = SystemParametersInfo (SPI_SETDESKWALLPAPER,;
      0, @lcWallpaper, 0)

   RETURN nresult