Web content on active desktop

I have an adware type warning that comes up as wallpaper on my desktop in Win 2000. I can change it in my desktop appearance function, but when I do anything after that, it defaults back to the warning. The checkbox on Web Appearance window in Display Properties is not holding. It is an adware type warning, but spyware and adware removal tools can’t find it. How do I remove it? Is there a location it resides that I can remove manually?