When I remote into my 2003 server I can not set a desktop background.
The desktop tab on the display properties is grayed out.
I found two keys that seem to affect the operation of said properties
page when using terminal services.
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Remote\2]
"Active Desktop"="Force Blank"
If I delete this key I can then access the before mentioned properties
page and successfully apply a desktop wallpaper.
However once I logoff and then back on this key has been replaced.
I have tried explicitly denying the system access to the key however
this doesn?t seem to stop it from happening. Also it should be
mentioned that number 2 in the key string can change from session to
session. I have also noticed the same activity in the following key.
HKEY_CURRENT_USER\Remote
HKEY_CURRENT_USER\Remote\2 <-- this changes every time a session is created. 
HKEY_CURRENT_USER\Remote\2\Control Panel\Desktop\ (key) wallpaper = ""

If you use the most recent version of the Remote Desktop Client and
click the "Options" button before you log in, and then the
"Experience" tab it shows a number of options. One of those options is
"Desktop Background" -- check that box and try to connect. Does that
solve the problem?

If not, then on the server, click start, administrative tools,
"Terminal Services Configuration," server settings, and "Active
Desktop" in the right pane. You can enable the active desktop there.

Hope that helps.

It sounds to me like this might be a 'mandatory' profile. If you look
in Active Directory Users and Groups at your user object, see if you
have a Profile configured in either the profile tab or the Terminal
Services profile tab, and then see if you have permission to write to
that directory.

 I'm guessing because your looking at HKEY_Current_User keys and
that's what mandatory profiles do -- the HCU registry hive is loaded
out of your profile when you log on; you can make changes to it
durring your session but if you don't have permission to write it back
to the profile share all your changes will be gone when you log off
and log back on.