You can easily restricted someone to change wallpaper in Windows XP with following registry keys.
1. Restrict Wallpaper
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
"NoChangingWallPaper"=dword:00000001
2. Restore Wallpaper
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
"NoChangingWallPaper"=dword:00000000
1. Restrict Wallpaper
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
"NoChangingWallPaper"=dword:00000001
2. Restore Wallpaper
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
"NoChangingWallPaper"=dword:00000000