If you're using Windows XP or earlier, you can use an HTML page as your wallpaper, and embed an MP3 in it, set to loop.
If you're using Vista or 7, or just don't want to do something that stupid, I don't think there's any tool to do so now, but it would probably be pretty trivial to make a small tray-controlled media player that's active at start time. In fact, I'll look into this when I get home from work.
Warning: Doing this to somebody else's computer is a sure way to wind up with a black eye or two. I take no responsibility for any physical or emotional trauma caused by misuse of any advice or downloads I post in this thread.
