By default Windows 2003 servers (WHS is based on W2K3) don't display the background desktop wallpaper in a client TS session, ie. Remote Desktop. You can change that behavior, according to the help description, by running gpedit.msc on the WHS and changing the Local Computer Policy | Computer Configuration | Administrative Templates | Windows Components | Terminal Services | Enforce Removal of Remote Desktop Wallpaper group policy. Here is the guidance for that policy.
Specifies whether desktop wallpaper is displayed to remote clients connecting via Terminal Services.
You can use this setting to enforce the removal of wallpaper during a remote session. By default, Windows XP Professional displays wallpaper to remote clients connecting through Remote Desktop, depending on the client configuration (see the Experience tab in the Remote Desktop Connection options for more information). Servers running Windows Server 2003 do not display wallpaper by default to remote sessions.
If the status is set to Enabled, wallpaper never appears to a Terminal Services client.
If the status is set to Disabled, wallpaper might appear to a Terminal Services client, depending on the client configuration.
If the status is set to Not Configured, the default behavior applies.
You then need to configure the client to display desktop wallpaper when you open the Remote Desktop connectoid and select the Options | Experience tab. See above.
