Please refer to the following artickle on Microsoft Knowledge Base Article - 228338.
Desktop Theme Background Unavailable After Windows 2000 Upgrade
This article applies to?
This article was previously published under Q228338
SYMPTOMS
After you upgrade to Windows 2000 Professional on a computer running Microsoft Windows 95 with Microsoft Plus! for Windows 95 installed, the background picture selected with a desktop theme may not be displayed when you select a new desktop theme using the Desktop Themes tool in Control Panel.
STATUS
Microsoft has confirmed that this is a problem in the Microsoft products that are listed at the beginning of this article.