In fact as an add-on to Glenn's use of GPO, I would recommend:

1. Use GPO to set the name/location.
2. Don't use a login script to change it. Run this from a command script on your server. You don't want them changing their wallpaper in the first place. So, it makes sense to remove it from the login script.

In this way, from the server command script, you either create the c:
bg.jpg file or delete it. Not much to it. \:\)