One thing to be very aware of:
Windows DreamScene uses video for its content. That is fine. But not all formats are created equal.
.WMV files were designed for being as small as possible while maintaining quality. They use a LOT more CPU power as a result.
.MPEG are somewhat larger in file size but use a fraction of the CPU that WMV uses.
Hence whey MPEG2 was the standard for DVD players years ago - the CPU requirements were much less. MPEG 4 (which WMV is a derivative of I believe) is superior in all ways other than CPU requirements which do matter for people using them as animated wallpaper.
The .DREAM format supports animated wallpaper made up of either MPEG 2 or WMV or dynamic content (generated on the fly). Dynamic content will tend to use the least since there's no decoding.