The problem is that you are setting it to just the file name.
You have to give a full path (or relative if it remains constant) to the file location and it's name.
But as yvrej17 has stated:
Click your form and set your background image in properties. Simple as that, no need for codes :)
You can do this by clicking the form in designer view, and locating the BackgroundImage property in the properties pane (defaults to the bottom right of screen) and navigating to the picture.
If you still wish to add it programmaticly you can do so this way:
'Located in the same directory as the solution.
Me.BackgroundImage = Image.FromFile(".\MyImage.jpg")
'Located in the Desktop Directory
Me.BackgroundImage = Image.FromFile("C:\users\myUser\Desktop\MyImage.jpg")
'If stored in directories above current directory.
Me.BackgroundImage = Image.FromFile("..\..\MyImage.jpg")
' Two directories ^