Windows Start button->Control Panel->Hardware and Sound->Display->Personalization (lower left corner)->Screen Saver. Check that it's set to BOINC.
One caveat though, you run a mix of CPU and GPU tasks. Only the CPU tasks come with the graphics application, the CUDA application that runs on the GPU does not have a graphics application, thus can't show the graphics or screen saver. When these run only, or when you managed to get an Astropulse to run (Astropulse don't have a graphics app either), you will see the standard BOINC screen saver.
Ancient Astronaut Theorists suggest that in many ways, you can be considered an alien conspiracy!