How to set my desktop at 16 bits

Your whole system? Usually you would do this for a single programme which was developed before XP and 32 bit came out at the turn of the century. Have a look at this KB article on the subject. http://support.microsoft.com/kb/324767

If you mean 16 bit color depth then right click on the desktop, choose properties, and on one of the tabs (I'm on a Win7 system right now) you can choose from 256 color, 16 bit, or 24/32 bit depth.

Maybe you should give a bit of details as to why you need to do this? 16 bit color is not great to use, you will see banding in color transitions.

Are you getting a message or an error talking about this? What's the exact message and from what?

I like to use the analogy in questions like this, you run into a doctor's office and ask where they keep the bandages instead or asking them to fix your cut off arm.