Did you not see I said it wouldn't help? Deleting the WLM folder won't fix the problem at all. Instead, close WLM fully. Then, hit Start > Run, and type (in quotes) "%appdata%\Microsoft\MSN Messenger", and then Enter. Open the folder that corresponds to your account (if there's only one, that's it), and delete the Backgrounds folder.
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Thanks Chris4!
Then restart Messenger. It will re-add the defaults, and then you can re-add your own.