Cannot change Finder's "New Finder windows open" preference; it's grayed out
I assume your user are assigned administrator rights on the machine?
Have you tried booting up in Safe Mode? Do the problem persist inside there?

To boot in safe mode:


Shut down you mac completely.
Press the power button.
After you hear the startup tone, hold Shift key.
Release Shift once you see the gray Apple icon and progress bar.


Also, try to create a new user. Check if the problem appears on your new user as well.

Edit:

Found this to be a solution:

Move (dont delete in case something goes wrong) theese four files to your desktop from &lt;~/Library/Preferences> and make a full reboot. Not necessary to do safe mode for this operation. Just Cut and paste the files directly.


com.apple.desktop.plist
com.apple.desktopservices.plist
com.apple.finder.plist
com.apple.preference.desktopscreeneffect.plist
com.apple.sidebarlists.plist


The files should appear after a reboot, and hopefully fix your problem.