WindowsME and wallpaper

This is a really stupid question but it’s bugging the heck out of me. I just bought a new PC and ME was preloaded. My son drew a great picture so I scanned it in, saved it as a .bmp and tried to use it as wallpaper. I can set it as wallpaper using display properties, background however the minute I shut the pc down, it removes the background. This doesn’t happen if I use one of the “stock” backgrounds. I made sure I put the .bmp I created in the same folder as the stock ones but it still won’t stick.

Any answers or suggestions?