How do you get multiple monitors to display different background images in XP
I realize you already know about Ultramon, but for the sake of timeliness and completeness for everyone else.
If your using a multimonitor it is worth your time and effort to install Ultramon. Not only does it provide settings for wallpapers in a multi monitor environment, it provides functionality not provided by Microsoft out of the box.
See here for extended wallpaper features introduced by Ultramon.
You can alternatively download and install DisplayFusion, the free version offers plenty of customization in the multiple-monitor background area.