Maybe it's locked in gpedit? Then unlock it. See: https://www.google.com/search?q=gpedit+background
On company laptops usually it's blocked, because IT support thinks they should decide how *their* PC looks. But since you write "*my* PC" I'm sure you can do it, assuming you have Windows 7, 8 or 10 Pro.
The easiest alternative is to reset your PC to factory settings. It might be more complex to figure out what registry setting is changed by gpedit and do it manually with regedit yourself.
the option to change the background on my pc is locked and does not let me click the change background or the select background button.