Other information would be helpful. Operating system? Where are the pictures you are trying to set as wallpaper? And what method are you using to change the wallpaper? Do you right click and select 'set as desktop background', or do you go into Display Properties and select a picture you have saved already.
It sounds like the images you are using are either being moved or deleted, resulting in a blank background. For instance, if you have a picture on a thumb drive set as the wallpaper, and you pulled the drive out, the next time the desktop refreshes it will go blank.