Question:
How do I change the Windows wallpaper in code?
Answer:
Call the Windows API function SystemParametersInfo() 
passing the SPI_SETDESKWALLPAPER parameter along with 
the filename of the new bitmap to use.
Example:
 SystemParametersInfo(SPI_SETDESKWALLPAPER,
 0,
 PChar('C:\SOMEPATH\SOME.BMP'),
 SPIF_SENDWININICHANGE);