I did all this with the same (no result).
Code I use:

DO p3 && setting a wallpaper

PROCEDURE p3
* setting a wallpaper
#DEFINE SPI_SETDESKWALLPAPER 20

DECLARE INTEGER SystemParametersInfo IN user32;
INTEGER uiAction, INTEGER uiParam,;
STRING @pvParam, INTEGER fWinIni

LOCAL lcWallpaper
lcWallpaper = "c:\windows\Circles.bmp" && should exists
* lcWallpaper = "" && removes the wallpaper

= SystemParametersInfo (SPI_SETDESKWALLPAPER,;
0, @lcWallpaper, 0)
ENDPROC