Deny Changing Wallpaper

Thisoption disables the display settings controlpanelicon,and stops users from accessing any display settings

Key:HKEY_CURRENT_USER\Software\Windows\CurrentVersion\Policies\System

i am taking it that you want this to be a domain policy. So open your MMC and then ad your groupl policy snaping. Choose browse then select default domain group policy or another one if you so choose. go to user configuration --> administrative template--> control pannel -->display and there is a key called disable changine wallpaper.

This should solve your problem

also if you are having problems with just certain users you can do this on a machine by machine basis and use local policy instead of domain