You can change the background to any pre-synced pictures on your Zune. To do this, follow this Tech-Recipe.
1. Select pictures.
2. Select the picture to become the Zune background. You can do this by either playing the slideshow and waiting for the picture, viewing by folder or viewing by date. Once the picture comes up, click the center of the control pad.
3. Select apply as background.
4. A message will appear, confirming the background change.