Is the picture you use on the media card? If so its likely because you have your media card set for mass storage ON.
try moving that picture.
open media, click the BB button, select explore.
find the picture you use as a background, click the BB button again and select MOVE.
Now use the BB button to go UP until you find the device memory and put the pic there.
You will have to go and set it as your desktop pic again (cause you moved it)
Hope that works (I'm curious