If I remember correctly, XP has an active desktop feature that puts your choice of a web page file over the actual current background. This is a really basic solution, but check that section of your desktop properties (right click, properties, if I remember right...) to see whether or not it's loading an active desktop over your actual desktop (it should have a tab of its own, but that may only be in W2K, I'm not sure). Chances are, it may just be loading a simple web page with a black background over your current background. Otherwise, it may be something in the visual settings.
But you've already probably tried this; I'm just giving a basic suggestion.