go here: http://www.winguides.com/registry/display.php/1097/
they show how to hack the registry to change the background. Be wary of that hack, because I believe it might actually be in: HKEY USERS\ .DEFAULT\Control Panel\Desktop
just remember hacking the registry can result in very bad things happening!
Now just create a simple registry hack ie: background.reg
and place it in the startup folder, you might have to right click the desktop and click refresh for the change to happen