On Windows with python2.5 or higher, use ctypes to load user32.dll and call SystemParametersInfo()
with SPI_SETDESKWALLPAPER action.
For example:
import ctypes
SPI_SETDESKWALLPAPER = 20
ctypes.windll.user32.SystemParametersInfoA(SPI_SETDESKWALLPAPER, 0, "image.jpg" , 0)