I read that it was a issue in 2007: http://www.binaryfortress.com/Forum/index.php?topic=292.0
It still happens to me, when I choose to "Show desktop icons", the wallpaper changes. It does not happen when I choose "Lock Web items on desktop", but then the icons get a shadow behind them.
I have two identical monitors, and my primary screen is at the right side. I run XP 64bit.
I use two wallpapers, one for the left monitor and one for the right. When the wallpaper changes, the picture for the left monitor get's displayed on the right monitor and vice versa.
It happens also If I use only one wallpaper that's spanned across both monitors.