Spyware in gif wallpapers

Imagine this : You downloaded nice wallpaper and setup that wallpaper on you desktop. But you don't know man who made that wallpaper made it with spyware in it. You will say - LOL that's imposible. GIF, JPG or PNG files can't contain any spyware. Are you shore? Put yourself in situation when firs gif image was made. What would you say if someone said to you then that gif can be automatic? You wouldn't belive that, right?
There are some roumors, that kind of PNG spyware was already made. But who knows? So far, just be careful with active desktop.