It looks like either you or any program has set your Windows 7 into test signing mode. This is typically done if you need to install an unsigned driver. As Windows 7 does not allow to install unsigned kernel-mode drives (unsigned/untrusted user-mode drivers are allowed) you need to enable "testsigning" mode in order to install it.
To verify whether you're running in testsigning mode open up an elevated command prompt and type:
bcdedit.exe
Then look at the Windows Boot Loader section and check for testsigning parameter. It might look as follows:
Windows Boot Loader
-------------------
identifier {current}
device partition=C:
path \Windows\system32\winload.exe
description Windows 7
locale en-US
inherit {bootloadersettings}
recoverysequence {fa491940-8aab-11de-99e7-fd0bcc610d86}
recoveryenabled Yes
testsigning Yes
osdevice partition=C:
systemroot \Windows
resumeobject {fa49193e-8aab-11de-99e7-fd0bcc610d86}
nx OptOut
debug No
To disable testsigning mode type the following on an elevated command prompt:
bcdedit -set TESTSIGNING OFF
Now the testsigning line should disappear or read No:
Windows Boot Loader
-------------------
identifier {current}
device partition=C:
path \Windows\system32\winload.exe
description Windows 7
locale en-US
inherit {bootloadersettings}
recoverysequence {fa491940-8aab-11de-99e7-fd0bcc610d86}
recoveryenabled Yes
testsigning No
osdevice partition=C:
systemroot \Windows
resumeobject {fa49193e-8aab-11de-99e7-fd0bcc610d86}
nx OptOut
debug No
Caution: If you have recently installed an unsigned driver or connected a device which comes only with unsigned drivers then disabling testmode might break the device or render it useless as the driver will not be loaded any more.
If you do not have any clue what could have enabled testmode you're strongly advised to run antivirus and anti-rootkit tools like GMER. Recently a rootkit was revealed which silently enables test mode in order to install unsigned drivers into the Windows x64 system (32-bit versions of Windows are not that strict and allow drivers with invalid signature to be loaded in kernel-mode).
Best Answer
I get this from time to time, I suspect its because I use BGInfo, which stores my wallpaper in the TEMP directory.
If you're setting it via IE and/or modifying it via BGInfo or a similar utility, it may be stored in the %TEMP% directory. If you or another program are cleaning this directory out regularly, when the systems boots, it can't find the last known location of the image. Try saving the wallpaper to a specific location (like your pictures folder) and set it from windows explorer, not IE.