Does your computer have a default account, and then an account for you (or whoever)?
When at the login screen, it may use the default background that someone set ages ago, and then going into the user's account changes the background to what they have. The login may be automated though, explaining why you don't have the proper prompt there for you.
What I'd try to do is (once logged in) choose Start->Log Out... and see what the background changes to when you are at a login prompt. If this is the case, go to Control Panel->Users (I think it's called that, may be "Passwords".. been a while since 9x stuff) and find out what the other account names are. Then change their backgrounds.
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