So you finally got local administor access on your Windows machine. The problem is that you're part of a domain with restrictive group policies and you really want to change your wallpaper, but remain part of the domain.
After some rooting around in the windows registry I found out where the nasty group policy hides. Just nuke everything in these keys, or if you have other intentions, directly modify them here:
HKEY_CURRENT_USER\Software\Policies
HKEY_CURRENT_USER\Software\Nicrosoft\Windows\CurrentVersion\Policies
HKEY_LOCAL_MACHINE\SOFTWARE\Policies
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\policies
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