Yes, but it still technically sets the wallpaper when they do that, so it will show up upon logging on/off. My kids got really crafty and, using that knowledge, found a really nice way around it... The use task manager to end explorer.exe and re-run it a few times. After that it somehow braks the active desktop, and no desktop shows, just a white error screen. At this point, anything you set as your desktop stays your desktop =/ After this i finally cracked down and disabled task manager, but they just went online and found a proprietary version of the task manager and ran it from there USB drives. I still havn't found a way to stop this from happening...
I must hand it to them though, these kids are rather bright and resourceful, i simply wish they'd use there intelect to go places and do things rather than focus on getting around stupid things like default backgrounds.