You need to remember the filename of the image you want to use(ex: photo.jpg).
Go to your browser and type ms0:/file:/PICTURE/photo.jpg Instead of typing photo.jpg, replace that with the name of your photo. [Note: This will only work if your pictures are viewable from the Photo tab in the main menu(XMB)]
The press triangle while the mouse is located over the picture. This should pull up the gray menu. Click the file icon to the far left and click: Save Image. Goto pt 2 for the rest.
Sorry there's a limit to how much you can type on a PSP.
Change the whole name to backgroundIMG.pspr and then change the destination to /PSP/COMMON. Hit save. It should ask you if you want to replace something. Hit yes.
I'm guess you are using one of RKDM's themes. Hope that helps.