You create the GPO as normal, drop the relevant .bmp/.jpg into the correct folder, job done?
Not always and apparently I’m not the only one! At a customers site we just couldn’t get the wallpaper to show and kept ending up with a black desktop. The correct wallpaper was there and occasionally would flash up to keep us guessing but it just wouldn’t stick. Finally I lost patience and found this Knowledge-base article which solved the issue.
We created a GPO to push out the hotfix and then run the update.
Create: HKEY_CURRENT_USER, Key: Control PanelDesktop, Value Name: Wallpaper, Type REG_SZ, Value Data: \servernamex.jpg
Enable Active Desktop