This Microsoft Support article describes the problem ("This behavior is by design")
Previous Bitmap Image Displayed When Computer Is Locked
Read this article to understand how this problem occurs (normally when one was a bmp and the other a jpeg).
The solution given is as follows:
To prevent this behavior from
occurring, clear the previous
wallpaper by clicking None in the
Select a background picture or HTML
document as wallpaper box, and then
clicking Apply. Then, select the
Active Desktop image you want to use.
When the computer is locked, the
computer will display the background
color and no previous images.