It is a simple trick to prevent the desktop wallpaper of your machine to be changed.
For this use following steps
1. Open Registry editor by typing REGEDIT in RUN
2. Goto the HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop key
3. Now in the right hand side pane create a new REG_DWORD key "NoChangingWallPaper" and set its value to 1.
4. Now Refresh your desktop.
It will prevent your desktop wallpaper to be changed.
*Later when you want to change the wallpaper just set the value to 0.
For this use following steps
1. Open Registry editor by typing REGEDIT in RUN
2. Goto the HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop key
3. Now in the right hand side pane create a new REG_DWORD key "NoChangingWallPaper" and set its value to 1.
4. Now Refresh your desktop.
It will prevent your desktop wallpaper to be changed.
*Later when you want to change the wallpaper just set the value to 0.