In case others come across this issue later, in your user folder/Library/Preferences folder is the file com.apple.desktop.plist that contains your desktop settings. Trashing it and rebooting the computer can often solve situations like these if nothing else helped.
Note that you will need to configure your desktop settings, colours, wallpapers and so forth again!
Lion note: You need to press Option/Alt and use the Go menu in Finder to see your Library folder.