Changing the desktop picture has no effect. You can try to drag it away 100 times and all you would get is 100 duplicate windows. When you hit the oval button to the right, it even spreads out to include the new features of the finder and hides them when you hit it again.
It is a fully functional finder window that you can't get rid of, and he had it in Tiger too. Has to be the oddest thing I have ever seen.