I always need to know if I am working on a real live system or a test environment. The way I tell is by our standard corporate background which tells you what server you are on and what state the server is in among other information. If you RDP into the box and can not see the background there are two things you need to check.
First off, your RDP client (Remote Desktop Connection client in the case of Windows XP) has to have remote wallpaper enabled in your MSTSC settings. On XP, open the saved Remote Desktop Connection file to the server you are connecting and click the Experience tab. Place a check in the option Desktop background. This allows the client to see enabled desktop wallpapers.
Second, connect to the remote Win2k3 server and from a Run box, type mmc to open the Microsoft Management Console.
Click File -> Add/Remove Snap-in. Click the Add button, choose Group Policy Object Editor from the list and click Add then Close then OK.
Now browse to Local Computer Policy -> Computer Configuration -> Administrative Templates -> Windows Components -> Terminal Services. From the list, modify Always show desktop on connection to Enabled and Enforce Removal of Remote Desktop Wallpaper to Disabled. Now close the MMC clicking No about saving the settings.
Log out of your remote desktop connection and login again, making sure your RDP client has desktop wallpaper enabled. Now you should be able to right click the desktop and apply wallpaper normally. I still recommend doing the colored background with the wallpaper since not all connecting clients will have desktop wallpaper enabled.