this is sure case of spyware.No need to worry dear,here is solution for you:
You need a tool called "Cleandesktop"..downlod it from here.
http://www.thespykiller.co.uk/files/cleandesktop.exe
After Downloading follow the following steps:
1)When download the setup double click it and run the setup
2)The setup will automatically be extrated to c:/desktopclean (I suppose you have Xp installed in c:/ drive)
3)After you have completly run the setup,the program will automatically run.If it doesn't,than go to c:/desktopclean/ and run cleandesktop.vbs file.If you get error like "cannot find file path,just again click the file"
4)Ignore warning if you get anyone..and continue running the script.
5)Than it will perform some registry tweaks,and everything will go blank for few seconds.
6)Now select you fav wallpaper.
Cheers
And after all,just do full system scan.Better do some online scan.
You can find few options here:
http://techiehome.org/viewtopic.php?t=512