Why is it that after roughly 18 years of work on the Windows NT family of operating systems, Windows XP still forgets my desktop background picture?

As I had deleted the original file, I had to go spelunking today to figure out that it’s copied to C:\Documents and Settings\[username]\Local Settings\Application Data\Microsoft\Wallpaper 1.bmp. The most frustrating part is that I could see the picture, but only when logging out/shutting down.