Evil people hide the malware programs that take over your machine in every conceivable way. This may be a good example of a Trojan Horse. They give you the "free" wallpaper that you like, which you download onto your machine, but it also contains the evil hidden software to hijack ads, and who knows what else. Normally once it is installed, it does not let go. You are very lucky if, just by turning off the wallpaper, it turns off the malware too, that is not usually the case.

It would be good if you looked up the name of the wallpaper to see if any of the anti-virus places have instructions to officially remove it, which they may as you said this is several years old.

We're glad you remembered what you did! Good luck, and let us know how it goes!