For a long time, virtual desktops were the exclusive realm of Linux users, but Microsoft released their own "Windows XP MSVDM Power Toy" a few years ago. I use virtual desktops on all my computers now, regardless of operating system (i.e. Mac OS X, Ubuntu and XP)-- but there's one feature about the MSVDM Power Toy that sets it apart from the other utilities I use, and that's the ability to set different desktop wallpapers for each virtual desktop.
To that end, I've created a very spartan series of desktop backgrounds specifically for MSVDM-- nothing fancy, just plain dark grey background with a large number in the center to help folks who are new to the whole virtual desktop paradigm keep track of which desktop they are actually looking at in the present moment. Feel free to use, modify, pass around, ignore, etc.