I have xp pro and my current wallpaper is listed under
HKCU/ControlPanel/Desktop
I do not know where you got the key you listed.
but if you go to Display, in the control panel, the only items that are used for desktop background will be listed in Desktop tab, you can scroll through the listings there, but the only way to delete any of these that come from other than Windows basic listings, is to go to My Pictures folder, any picture in the My pictures folder will be listed in the background listing.
What I do with my pictures is create a new folder and move all my pictures into that folder which I have named Pixs, what I leave in the My pictures folder are the images I use for my desktop background.
So look in your my pictures folder is your document in there?
move it back to your documents folder.
go to display and choose the background you want.
If this is not something you did yourself accidentally, I would run some scans to look for a virus or malware
What is your current antivirus??
do the following:
Download, install, update and do full scan with these free malware detection programs:
Malwarebytes (MBAM):
http://www.malwarebytes.org/products/malwarebytes_free
SUPERAntiSpyware: (SAS):
http://www.superantispyware.com/
Remove all found, reboot, and run again until scans run clean, these can be removed afterwards if you so choose. Run scans one at a time, please.