You probably have your desktop set to View as Webpage or something like that and for some reason the image you were using as a background couldn't be shown, just like on webpages where the images won't load properly it shows a red X like that one.
yup, tgxiii is correct.
Also, just now on my windows me machine it crashed in a program. It went to the desktop and I saw that X on the desktop. Restart and it went away, lol. Probably the Active Desktop got messed up