Gunsmoke,
How about a simple html solution - thereby avoiding cookies and scripts and all those complications (

) - maybe like this:
Instead of placing your page content in separate html files, put all the content in a single-file 'super page', one 'original page' after the other, vertically. Then place an anchor at the upper left of each of your original pages and link to these anchors in your menu. Now, when you click on a menu item, instead of going to a new html file, the single-file site will simply - and invisibly - 'scroll' to a new location on the same page, where the fixed-location sequence of background images remains the same and unbroken throughout.
I've never done this, but it seems like an interesting little project to try!
EDIT: I forgot that you are using VSD! Although this kind of thing would be very simple in the Editor, it may cause all kinds of difficulties in VSD ??
I wouldn't know since I've never used VSD...