If the original pictures resolution is being changed to make it fit your desktop it may end up looking grainy or blotchy. Especially if it is being stretched. Having your color quality set to 16 bit instead of 32 bit will do it too.
Windows uses some crappy algorithm to resize pictures, use an external application like Photoshop to pre-resize your pictures to match the resolution of your monitor.
I don't know about vista but I believe on XP if you select a jpg file for your desktop it gets converted to a bmp file. I use irfanview to resize to what ever resolution my desktop is set to, and its free. It will also let you convert a jpg to a bmp.
He's probably noticing some change due to some transparency layer put on the wallpaper in order to display widgets gadgets and other crap Vista introduces to clutter the desktop.
I'm a bit bewildered about what's being asked here as well. Are you saying that the image colours change when you set an image as your desktop wallpaper?