Why does Win7 not save my personalization settings?

When I get a nice wallpaper for my desktop and I go to save it in Personalization in the Control Panel, It works, but I loose any of my other saved settings and desktops.
What happens:
I find a nice image that fits my screen well and I like, so I set it as my desktop wallpaper(we'll call this cat)
I go to save it in personalization (it is cat)
I find another image I like, so I set it as my desktop wallpaper (we'll call this dog)
When I go to Personalization it shows dog for the unsaved desktop AS WELL AS the saved desktop that is supposed to be cat, and I have just lost cat.
If I save dog in a theme and go back to get cat, or even another image like duck, it changes the saved one (dog).
Why is it not saving my settings/changing my saved settings?