Whenever you set your desktop’s background image, Windows stores a thumbnail of that image in the background history. This is where you will see the last five images that were used as a background, even if you accidentally clicked on the wrong image while browsing. With a few simple Registry edits, you can remove one or all of them and start from a clean state.
Clear Recently Used Background Images by Editing the Registry Manually
If you’ve accidentally added an image as a background and want to get rid of it, you can’t simply right-click the image and delete it. Sure, you could add five more different images, but using this Registry edit is a lot easier to do.
Standard Warning: Registry Editor is a powerful tool and misusing it can render your system unstable or even inoperable. This is a pretty simple hack, and as long as you stick to the instructions, you shouldn’t have any problems. That said, if you’ve never worked with it before, consider reading about how to use the Registry Editor before you get started. And definitely back up the Registry (and your computer!) before making changes.
Open the Registry Editor by hitting Start and typing “regedit.” Press Enter to open the Registry Editor and then give it permission to make changes to your PC.
In the Registry Editor, use the left sidebar to navigate to the following key (or copy and paste it into the Registry Editor address bar):
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Wallpapers
Read the remaining 16 paragraphs
Source: How-To Geek