Not sure what method you used to set the wallpaper. I personally use Irfanview to set my wallpaper. Irfanview
(also look at the available plugins on the left column)
Open Irfanview. In menu at top choose Options, then Set As Wallpaper (I then use centered).
If you'd rather we figure out what isn't working with your method, post the exact steps you used to set the wall, and also where the image is stored. A Guy