My bet is that the desktop background you\'re currently using is in the .jpg or a similar internet picture format. If you try to put a file of a type other than .bmp on your desktop, Windows will ask you if you would like to enable Active Desktop. Therefore, when you boot into windows, the original picture stays up for a few seconds until Active Desktop is loaded and the new picture pops up.
As far as I know, Active Desktop is a slight resource hog, and you\'d be better off just changing the picture format to .bmp using some software program and then setting that to your background and disabling Active Desktop through the Active Desktop tab in Display Properties...