Hi Emre
1-you can set that manually on windows configuration(depends on what windows version you have)
2-you can use the API to set a wallpaper.the picture you choose becomes a part of system and saved mandatory as BMP image.

 Declare Integer SystemParametersInfo In user32;
        INTEGER uiAction, Integer uiParam,;
        STRING @pvParam, Integer fWinIni

can see this link
http://yousfi.over-blog.com/2015/03/wallpapers-slideshow-with-visual-foxpro.html