You can create a
String key in
Wallpaper containing the path to your wallpaper. That would disable changing wallpaper from Personalization applet and right clicking image file on Explorer.
However, determined user could google this question and modify the key themselves. So the next step would be disabling Registry Editor, which could be defeated by 3rd party apps, which necessitate limiting Windows to only run pre-approved apps, which require a trip to Group Policy editor, which could be still disabled by VB scripts, so you would need to disable VBS execution engine etc...
Or you could just install apps like Reboot Restore, Returnil System Safe or Toolwiz Time Freeze so everytime the PC is rebooted, everything return to the clean state