Si estás usando un windows trucho es posible que hayan eliminado dicha opción...
Aqui tienes, Con esto supongo que ya podrás habilitarlo.
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\SystemFileAssociations\.bmp\Shell\setdesktopwallpaper]
"MultiSelectModel"="Player"
@=hex(2):40,00,25,00,53,00,79,00,73,00,74,00,65,00,6d,00,52,00,6f,00,6f,00,74,\
00,25,00,5c,00,73,00,79,00,73,00,74,00,65,00,6d,00,33,00,32,00,5c,00,73,00,\
74,00,6f,00,62,00,6a,00,65,00,63,00,74,00,2e,00,64,00,6c,00,6c,00,2c,00,2d,\
00,34,00,31,00,37,00,00,00
"NeverDefault"=""
"SuppressionSlapiPolicy"="ChangeDesktopBackground-Enabled"
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.bmp\Shell\setdesktopwallpaper\Command]
@=hex(2):25,00,53,00,79,00,73,00,74,00,65,00,6d,00,52,00,6f,00,6f,00,74,00,25,\
00,5c,00,45,00,78,00,70,00,6c,00,6f,00,72,00,65,00,72,00,2e,00,65,00,78,00,\
65,00,00,00
"DelegateExecute"="{ff609cc7-d34d-4049-a1aa-2293517ffcc6}"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.bmp\Shell\setdesktopwallpaper]
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.jpg\Shell\setdesktopwallpaper]
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.jpeg\Shell\setdesktopwallpaper]
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.png\Shell\setdesktopwallpaper]
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
[HKEY_CLASSES_ROOT\SystemFileAssociations\.tiff\Shell\setdesktopwallpaper]
"icon"="C:\\windows\\system32\\shell32.dll,301"
"position"="top"
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\DesktopBackground\Shell\Wallpapers]
@=hex(2):00,00
"Position"="Bottom"
"Icon"=hex(2):43,00,3a,00,5c,00,50,00,72,00,6f,00,67,00,72,00,61,00,6d,00,20,\
00,46,00,69,00,6c,00,65,00,73,00,5c,00,50,00,69,00,54,00,6f,00,4c,00,6f,00,\
4b,00,6f,00,20,00,53,00,6f,00,66,00,74,00,77,00,61,00,72,00,65,00,5c,00,69,\
00,63,00,6f,00,6e,00,6f,00,73,00,5c,00,77,00,61,00,6c,00,6c,00,70,00,61,00,\
70,00,65,00,72,00,73,00,2e,00,69,00,63,00,6f,00,00,00
[HKEY_CLASSES_ROOT\DesktopBackground\Shell\Wallpapers\command]
@="control desk.cpl,,@desktop"
Salu2.