My reply is at the bottom of your sent message:

http://www.kellys-korner-xp.com/xp_tweaks.htm

Line 285 Right hand side - restore all display tabs...

See also:

Malware Cleaners and Repair:
http://kgiii.info/windows/all/general/malwarefix.html

Note that if this is a work PC or a PC that is controlled by someone else
the group policy might be in effect that forces you to retain the settings
that you have and any attempts to change those might be considered abusive
by the people who own the PC.

If there is no Desktop tab then :
http://www.kellys-korner-xp.com/regs_edits/desktoptab.reg
-------------------------------------------------------------------------------------

-1--If-Background-section-is-grayed-out-then-:----------
Registry fix-Automated :
http://www.kellys-korner-xp.com/regs_edits/wallpaperenable.reg
---------------------------------------------------------------------------

   ------Manually-:-------XP--Pro---------
   1.Start > Run > gpedit.msc
   2.Under User configuration > Click [Administrative Templates\Control
Panel\Display\]
   3. There will be value named "Prevent changing wallpaper" > Set it to "Not
Configured"
   ------------------------------------------------

   -----Manually-:-------XP--Any----------
   1. Click Start > Run > regedit
   2. Go to
<HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop>
   3. There will be a value named "NoChangingWallpaper" > Set it to 0
   4. Click
<HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop>
   5. Repeat Step 3
   ------------------------------------------------

--If-the-above-fails-----------------
Microsofts Method- <http://support.microsoft.com/kb/921049/>
------------------------------------------

Your computer could be infected with Spyware or Malware etc. But you can give
a little try to this one:

1. Click Start - Run - type GPEDIT.MSC and press enter
2. Expand To:
   User Configuration
          Administrative Templates
                    Control Panel
                             Display
3. On the right-side pane, check an entry called "Hide Desktop Tab". if it
is set to "Not Configured" or "Enable" then set it to "Disable". Meanwhile,
you can check other settings to related to Wallpaper.

If that doesn't work or you have Windows XP Home Edition then try this:

1. Click Start - Run - type REGEDIT and press enter key.
2. Expand To:
     HKEY_CURRENT_USER
          Software
             Microsoft
                Windows
                      CurrentVersion
                         Policies
                               System
3. In the right-side pane check for an entry name called
"NoDispBackgroundPage". If it is then delete this entry.

Hope this help, let us know!