Welcome to Seven Forums amirali75. Have you tried deleting the
TranscodedWallpaper.jpg?
C:\Users\<username>\AppData\Roaming\Microsoft\Windows\Themes\TranscodedWallpaper.jpg Start> In search box copy and paste
%USERPROFILE%\AppData\Roaming\Microsoft\Windows\Themes Enter Right click the
TranscodedWallpaper.jpg and rename it to
TranscodedWallpaper.old
Accept the change, and see if you can now keep your desired background.
The jpg is a hidden file, so if you do not have windows set to show hidden files, you will need to enable that 1st
Hidden Files and Folders - Show or Hide
A Guy