'Display properties' is the place where you set things like screen resolution, desktop background image etc.
There are several ways to get to the Display properties dialog box, here is one of them:

Go to the Start Menu at the lower left corner of your desktop. Click 'Settings', which will bring up an extended list of further options. Click 'Control Panel', which will open a window with a long list of shortcuts to various sytem settings. Double-click on 'Display' from this list, which will bring up a smaller dialog box (the 'Display Properties' dialog box).
This dialog box has several tabs at the top to choose different types of settings according to what you would like to change.
Click on the 'Desktop' tab, which will show the basic options for changing your desktop.
Click on the 'Customize Desktop...' button that you see here. This brings up yet another dialog box called 'Desktop Items'. Here you should select the 'Web' tab at the top. Now with a bit of luck you will see that there is an entry here for the grey and white html page you have on your desktop. It could be called 'Desktop.html' but may not be. Just make sure you un-tick anything that is ticked here. (If nothing is ticked here when you go in then this method will not help you)
When you have finished click 'OK' on the open dialog boxes to accept your changes, and close the 'Control Panel' window.

From what you have said it is possible that you have already removed the intruding software that caused this problem, but you have just been left with this anoying HTML page selected as your desktop. If this is the case then this method should help you. However, it may not work either.
Let me know how you go.