Problem in Setting up backgroung

Hi
I am using Microsoft XP. Microsoft claims in its OS help
"You can also right-click the picture, and then click Set as Desktop
Background."

But when I right click on a picture it does not give me an option of set as
background. I am sure this option is available as I have seen on a few other
PC's.
Please tell me which option to enable so theat whenever I right click on a
Picture (i.e JPG or BMP or GIF ) it gives me a option of set as background.

I know this is possible by opening it in iexplore then set as background but
i am looking stright to do from the explorer by right clicking

Please reply at rahul007@hotmail.com

Regards
Rahul