Also, check into your "active desktop" setup.
Traditionally, Windows (Win 3.0-Win95) used bitmaps only for desktop backgrounds. What I've seen happen since they decided to add GIF, JPEG, Etc. to the list of acceptable files, is that the LAST bitmap you selected for your desktop will appear until Windows loads the drivers to paste your current background over it.
If you can get through that run-on sentence, you should be clever enough to fix the problem. The quick and dirty method is to find the file you don't want to see and move/rename it. Out of sight, out of mind. Otherwise, I think you may end up digging in the registry...
AK