How can I delete backgrounds that are listed in my "DISPLAY PROPERTIES" "BACKGROUND" List. (Where do I find them so that I may delete them?)

If they were saved from internet explorer:

C:\Documents and Settings\{user}\Application Data\Microsoft\Internet
Explorer\Internet Explorer Wallpaper.bmp

Or: C:\WINDOWS\Web\Wallpaper

Or run a file search for "wallpaper" and or "background".