Problems after – Windows XP SP2 installed

Last week I installed Windows XP SP2 to 5 computers. 2 of which I don?t have a problem (not yet), the other 3 pc I am wondering why I can not change the desktop background. The list of the backgrounds were there but I can not choose one of them it won?t let me even if I login as administrator.
So, I would like to know how to properly configure this? Is this normal to some pc? I wonder if the firewall is something to do with it? we have a router on our network. I would appreciate Tricks and Tips. Thanks!