Optio S40; How do I delete a picture set as start-up Screen?

I set one of my pictures as start-up screen, but I changed my mind and I tried to completely delete it from the memory. That wouldn't happen. I formatted my SD card, the built-in memory, i reset the camera, but nothing helped and every time I go to "setup", "screen setting","start-up screen", this photo is still available along with the default "optio" screen.
How can I delete it? Thanks!