You most likely have active desktop enabled. When you computer first loads, and shuts down, it turns off active desktop (the feature in windows that allows you to display web content for a desktop - including jpeg images). When active desktop is turned off, it defaults to displaying the bitmap image you had set before.
 
Disable active desktop temporarily, select none for your background and hit okay. Probably prudent to reboot. After your computer is back up, select the deskop that you want (you can enable active desktop again.)