What is the warning note that remains?

Try go into Control Panel and then Display.
Try to change the Theme from Windows XP to windows classic and see if that changes your background

Hengis,
I am not logged on with an administrator account but there isn't any restriction place on my pc and it is not on a network.

Zimbo,
I right-click on the warning note to check on the propertise and it is actually a html file. It is like a wallpaper with the following words:
Warning!
YOU'RE IN DANGER!
ALL YOU DO WITH COMPUTER IS STORED FOREVER IN YOUR HARD DISK. WHEN YOU VISIT SITES, SEND EMAILS... ALL YOUR ACTIONS ARE LOGGED. AND IT IS IMPOSSIBLE TO REMOVE THEM WITH STANDARD TOOLS. YOUR DATA IS STILL AVAILABLE FOR FORENSICS. AND IN SOME CASES FOR YOUR BOSS, YOUR FRIENDS, YOUR WIFE, YOUR CHILDREN.
Every site you or somebody or even something, like spyware, opened in your browser, with all images, and all downloaded and maybe later removed movies or mp3 songs ARE STILL THERE and could broke your life!
SECURE YOURSELF RIGHT NOW! REMOVE ALL SPYWARE FROM YOUR PC!
Removal instructions (This is a hyperlink to http://www.antivirus-gold.com/?wm=)? :-(

I went to the control panel, click on Theme and Appearance and a display properties window pop-out. Normally, there are 5 tags: Themes, Desktop, Screen Saver, Appearance and Settings but now my Desktop tag is missing. I have tried to change the theme from Windows XP to Windows Classic but it didnt help.? :cry:

Afraid to say that this is a nasty one and you could have a numerous amount of trojans on your system.

Do the following in safe mode

1) Delete the following from your HiJackThis:

? ? C:\WINDOWS\system32\spoolsv.exe

2? Also delete them through windows explorer, so browse to the system32 folder and delete these two files:
? ?

• ? ?
• spoolsv.exe
  ? ?
• spoolsrv32.exe (if you have it)
  ? ?
• C:\WINDOWS\Web\desktop.html - delete if you find it
  ? ?

3) Now lets try sort out your desktop ..

? ? Go into Control panel > Display properties >Customise Desktop > WEB
? ? Remove Security from the list.

? ? Apply changes.

4) Now go to your internet explorer properties and delete TEMP files along with COOKIES.

5) Run Microsoft Antispyware, Spybot and Antivirus software,

Reboot your machine and try change you background.

I know I have mentioned quite a few things and somethings that we have already done, but make sure you do everything that I have mentioned.