You can use Startup Script instead of GPO. In Startup Script change the following Registry key.
HKEY_CURRENT_USER\Control Panel\Desktop\Wallpaper
You need the “reg” command lines.
Reg
For example:
reg add " HKEY_CURRENT_USER\Control Panel\Desktop\" /v wallpaper /t REG_SZ /d [path] /f
RUNDLL32.EXE user32.dll,UpdatePerUserSystemParameters
Launch the script with parameter “onetime”.
Windows 2000 Computer Startup Scripts
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