When you press CTRL+ALT+DELETE and press Lock Computer, the previous wallpaper is displayed behind the dialog box?
This is an Active Desktop issue. The Explorer.exe shell displays additional layers on top of the desktop, such as the Start menu, desktop icons, and Active Desktop.
When you Lock Computer, these layers are cleared, revealing images that are set on the desktop, the old wallpaper.
To resolve the problem, set the standard desktop wallpaper to None. Then select the Active Desktop image that you want to use.
When you Lock Computer, the backgrounds color will be displayed, with no previous image.