You have windows 7 starter or vista starter i am guessing , which means there is no option for changing the background, it has been disabled.
It can be enabled though through various hacks
click on this Stardock MyColors
download it and To use it, find a jpg wallpaper you like, then run Starter Wallpaper
Changer as administrator (right click onb the file and click run as administrator). Select your jpg file, and change. Then log
off, and log back in. Simple!
please vote if this was useful to you