Hi Brenda,
Check here: Right click your Desktop/Properties/Desktop/Customize Desktop/Web.
The pictures that show up under display properties, desktop are located in these folders:
C:\Documents and Settings\user name\My Documents\My Pictures
C:\WINDOWS\Web\Wallpaper
If that doesn't remove it, check your settings here:
Go to Start/Run/Regedit and navigate to this key:
HKEY_USERS\.DEFAULT\Control Panel\Desktop
Locate the SCRNSAVE.EXE entry in the right pane and modify it to the one you desire. SCR files are located in Windows\System32 by default, but you may have some add-on screen savers in the Windows folder.
Change Screensaver Automatically in the Registry (Line 97)
http://www.kellys-korner-xp.com/xp_tweaks.htm
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All the Best,
Kelly
MS-MVP Win98/XP-Shell/User [AE-Windows® XP]
Troubleshooting Windows XP
http://www.kellys-korner-xp.com
http://www.kellys-korner-xp.com/xp_abc.htm