Or at least, I think it does...
Whenever I put in my flash drive, it changes to my portable wallpaper, and whenever I go back, it's stuck on the wallpaper it was on when the PortableApps.com platform took over.
It's the only solution I can think of. That, or Windows 7 forgets you have a slideshow set up and randomly stops on one. But then I go into the settings, and it doesn't say I have a slideshow set, just that I have the one it's on.