On your phone, press the Settings button (it looks like a gear)

With the User Preferences highlighted, press the Select button

Use the arrow pad to highlight Background Images/Wallpaper

Press the Select button

Use the arrow pad to highlight the desired image

With image highlighted, press the Select button

You can preview the background image by pressing the Preview button

Press the Exit button or back arrow to leave the preview

To save the highlighted image as your background image, press the Save or Set button

Press Exit twice to return to your home screen