Where is the photo store, on an SD card or device memory?  If it stored on an SD card, move it to the device memory.  The SD card is not available when plugged in to the computer via USB.  If you move the photo you have set to wallpaper to device memory, it will always show up.

Just go into your photos, highlight the one you want and hit the menu button.  scroll up to move and then select device memory.  Done.

Hope this helps,

Jay