BRIAN BERGSTRAND  This is a bug in the 10.6/10.6.1 Finder. It displays the desktop icon window at the desktop level instead of at the desktop icon level (as all previous OS X versions did). This results in a conflict between CD and the desktop icon window.

The simple workaround is just to click on the "blank" desktop, this will bring the Finder's icon window to the front.

A more permanent workaround involves Terminal. Quit CD and then run the following:

defaults write org.bergstrand.changedekstop SDLevel -bool true

This forces CD's window to run below the Desktop level. However it does not work correctly with multiple monitors.

I filed a bug with Apple over a month ago, but I don't know if/when it will be fixed.  
(Version 3.0.6)

BRIAN BERGSTRAND  As stated in the Requirements, Change Desktop requires a "Core Image accelerated video card". The FX 5200 does not support Core Image acceleration.  
(Version 3.0.3)

BRIAN BERGSTRAND  The OS function has limitations: there's only 1 transition effect, you can only select one source for random images and that source is not auto-updated when it changes on disk. If you are happy with the system one, than bully for you, but some people aren't happy with it.

Why don't you give it a try and see for yourself why it's better?  
(Version 3.0.3)

BRIAN BERGSTRAND  I am not Steven and he is not me. Thanks for insulting both of us.  
(Version 3.0.2)

BRIAN BERGSTRAND  I've added this for the next version.  
(Version 3.0.2)