What happens when you try to change it? Does it give you an error? Does it just through all the motions but not actually change it? Are some of the options greyed out or not showing up?
What OS we talkin bout?
If it's Win98, try this -
Click Start, point to Settings, and then double-click Display.
Click the Web tab.
Click the "View my Active Desktop as a web page" check box to clear it, and then click Apply.
Click Yes when you receive the following prompt:
The wallpaper you selected can be shown on the desktop only if Active Desktop is enabled. Do you want to enable it?
Click OK.