Andrew,
You didn't give us your OS -- WinXP is assumed.
Right-click any open space on the Desktop. Then, click Properties. At that point, you should be able to change the background image. If you are logged in to the PC via a "limited" account, you may not be able to change the background image. Make sure you're a Power User or Administrator by using the User Accounts icon in the Control Panel.
CharlieJ, April 2007