If this is a new problem you can try a System restore to a point prior to the problem.
start > All Programs > Accessories > System Tools > System Restore
If that doesn't help see if anything here helps:
Try:
start Run... and type:
regsvr32 /i shell32
& hit Enter > then:
regsvr32 themeui
& hit Enter > then:
Reboot the computer.
if that doesn't work:
See -
Options to change wallpaper may be missing or unavailable on a Windows
XP-based computer
http://support.microsoft.com/kb/921049/en-us
The Desktop tab does not appear in the Display Properties dialog box in
Windows XP
http://support.microsoft.com/kb/922370/en-us
Restore Desktop Display Properties:-
Line 285 Right hand side - restore display tabs.
http://www.kellys-korner-xp.com/xp_tweaks.htm
Note that this behavior is almost always Malware or Virus triggered. Run you Virus scanner and post a HijackThis log in that section of the forum.
http://www.techhelpforum.com/showthread.php?t=3702