Roaming Profile problem

We have one user using a Roaming profile and he moves
around between 3 machines. Our DC is W2kAS and it has a
profiles folder shared.

The profiles kind of work with the following problem. We
have XP plus software pack installed on all our
workstations everything comes down in the profile except
the wallpaper it is always gray. We go to display
properties and it is set to the right one and if we apply
it then it works. It will work as long as the user logs
into the same machine -- but when he moves to a different
machine the problem comes back.

Anyone know how to fix this?
Thanks
Allan Ackerman