Did you happen to install XP ANTIVIRUS 2008?
I can't right-click on the desktop to access the contexual menu to get at the properties. When I go to the display control panel and try to change my desktop background, I get the following:
can't find file:///c:/windows/privacy_danger/index.html
CPU: Pentium 4 2.4 GHz 2 GB RAM
OS: XP Home Edition SP3