Active Desktop — the background-is-a-web-page thing in 95 and 98 — is still there in XP, though mercifully it was deleted starting in Vista. To disable it, go here:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
create a DWORD of ForceActiveDesktopOn, set it to 0; and create a DWORD of NoActiveDesktop, set that to 1. Then reboot, and it’s done!