Why on earth would you ever do something that adware/spyware/malware/a virus is telling you to do? o_o There's always a better solution than that.

Anyway, when you try to select a picture when changing your wallpaper, you can't, right? Do you mean you click on it and it doesn't even highlight? Also, can you change you wallpaper other ways, like from Internet Explorer?

EDIT: And what was the name of the program it had you install?