its quite simple, I dont know how he did it, but here is one way, probably the best I think:
http://msdn2.microsoft.com/en-us/lib...47(VS.85).aspx
Check out SPI_SETDESKTOPWALLPAPER action.
EDIT:
Just took a look inside his proggie

Thats what he is doing, the SystemParametersInfo. He sets the wallpaper styles via registry.
HKEY_CURRENT_USER\Control Panel\Desktop