When a user right-clicks on an image in Internet Explorer and presses Set as Wallpaper, an Internet Explorer Wallpaper.bmp file is written to their \Documents and Settings\%UserName%\Application Data\Microsoft\Internet Explorer folder.
To prevent this action, use Internet Explorer to set the wallpaper that you desire. Copy the resultant Internet Explorer Wallpaper.bmp file to the \Documents and Settings\%UserName%\Application Data\Microsoft\Internet Explorer folders of all the users you wish to inhibit. Set the ACL on this file to allow read access only. You can use CACLS in a logon script:
@echo y|CACLS "%userprofile%\Application Data\Microsoft\Internet Explorer\Internet Explorer Wallpaper.bmp" /g SYSTEM:F Administrator:F Everyone:R
NOTE: If you don't want any wallpaper, use , and stretch the wallpaper.