This will sound obvious and I have no intention of being insulting, but have you got a screen saver set up to display? I think the default in XP is set to 'none'.
to check, right click your screen, on the drop down that appears select Properties, when the Display Properties box opens click on Screensaver tab and a list of available screensavers is there to choose from.
If you want some less mundane artwork for your desktop try looking on www.digitalblasphemy.com

hope that helps