Scallywag,
that happens because one of the images you are using requires the Active desktop feature to be switched on (Control Panel, Display, Web tab). If you disable it the new picture will dissapear. You can then remove the 'old' picture from the background (Control Panel, Display, Background = none) and then re-introduce the new background (the system will ask you to re-enable Active desktop).
Thereafter the boot sequence will take you into the plain blue (or whatever colour you choose) background before switching to the picture you have selected.
Hope this makes sense.
amofw