Here's a little C# program I made that gets the filename of the currently set desktop wallpaper and also can be used to set the desktop wallpaper.

Example usage: SetDesktopWallpaper.exe C:\MyNewWallpaper.jpg

Just something I made for my sister who has Windows 7 Starter edition and lacks the presentation controls. Add it to your 'Send To' folder and just select the file you want to set the wallpaper as and go.