Okay Plasma and OLED screens are susceptible to burn in, LCD aren't so much, they often suffer temporary "burn-ins" but tellingly most manufacturers exclude burn-in from their warranties. CRT's suffer from it less then they once did. Partly because we moved to colour screens, which are less susceptible then the old monochrome ones and partly because a layer of aluminium was added behind the phosphor of the pixels. This was done for other reasons but a nice side effect is some protection from burn-in. Modern Manufacturing also produces higher quality phosphor which helps as well
As to the original question, I would look at what format those images are in, it is entirely possible the screen saver feature in XP is unable to load that particular format.
