I found that even with making the file read only, IE7 reset it during the day
and the wallpaper was lost. I think I have discovered a more permanent
soloution which is:

If you have this problem with roaming profiles and redirected folders, then
I think I have solved it.

Put the server where your "application data' folder is redirected, into the
"trusted sites" zone.

For example,

if you redirect the "application data" folder to
\\servername\share\username\application data,

then add file://servername into the "trusted sites" zone. (This can be done
via Group Policies)

You will need to do this for each server if you have mulitple servers where
you are redirecting the application data folder to.

This caused another error for us as we also run exe's off servername, and as
the server had moved from the local "intranet zone", to the "trusted sites"
zone, we were now getting prompted to run the exe's. Adjusting the zone to
"Medium-Low" corrected this for us. (This can also be done via Group Policies)

I hope this helps some of you.