You can use the SystemParametersInfo:

Code:
'Put this in a module
Public Declare Function SystemParametersInfo Lib "user32.dll" Alias "SystemParametersInfoA" (ByVal uAction As Long, ByVal uiParam As Long, pvParam As Any, ByVal fWinIni As Long) As Long
Public Const SPI_SETDESKWALLPAPER = 20
Public Const SPIF_SENDWININICHANGE = &H2
Public Const SPIF_UPDATEINIFILE = &H1

'use this in your program:

dim retval as long
dim picturepath as string

picturepath = "c:\windows\clouds.bmp"
retval = SystemParametersInfo(SPI_SETDESKWALLPAPER, 0, ByVal picturepath, SPIF_SENDWININICHANGE Or SPIF_UPDATEINIFILE)