wallpaper disappears timed out

I am working on xp pro sp2 in a domain environment. When I walk away from

my desk I usually lock my computer by using windows key+L. When I come back

and log back in, my wallpaper is gone and my screen is now a plain color. I

have to manually go into display properties and click a different wallpaper

then the one I want again to get it back. I am only selecting a wallpaper

that comes with windows xp. I have not downloaded any special pics. This

sometimes happens when my computer times out on its own and goes to the

screen saver, but that is not as consistant as when I lock the pc. Any clues

why this is happening??