UAC Blocking Write Permissions
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In Windows Vista, the UAC prompts for admin rights to write to the C:\Program Files directory and its subdirectories. If Wallpaper Changer is installed in C:\Program Files (it is by default) then it may not be allowed to write settings.xml or the wallpaper bitmap file to the working directory at run-time.
A temporary fix is to right-click Wallpaper Changer.exe then go to Properties->Compatibility->Privilege Level and check "Run this program as an administrator." That way, Wallpaper Changer will have appropriate permissions to write to C:\Program Files.
Future versions of Wallpaper Changer will write needed files to a different directory to avoid this altogether.
Run As Admin