sounds like a spysherrif attack. I know you don't want to download any programs so not much I can really do for you. maybe somebody else has a way without using additional software.
I have 2 suggestions on what it might be, but can't say for sure without seeing logs.
1) Right click My computer and select manage
2) click on the + next to services and applications
3) click on services
4) Select Standard View
5) Scroll down a bit to themes service
6) Doubble click themes service, under general make sure the startup type is
automatic .
7) Select start if the service is not started yet.
8)If it is already started. select stop and select start again.
Option 2 if the above doesn't work:
Click On start>Run> type Regedit
Go to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\System
On the right side of the screen, look for an entry called "Wallpaper.htm". Delete it.