Ipaq.....
Suggestion 1: My Computer > C: Drive > Windows > Web > Wallpaper. ...See if it's there/delete.
Suggestion 2: (more likely) Start > Control Panel > Folder Options > View (tab) > 'show hidden files and folders' > Apply > OK. ...And then . . . . .
My Computer > C: Drive > Documents and Settings > Username (that you are using) > Application Data > Microsoft > Internet Explorer. ...See if it's there/delete.
Good luck; let us know how you get on.