How do I set the background image?

Right click on the desktop background. Choose Backdrop... from the bottom of the menu. Drag an image in.

If no background image is set, the colour set in the Options box is used (choose ROX-Filer/Options... from the menu).

You can use Wallpaper to select a random backdrop image at regular intervals, and for other interesting effects.

Note that the pinboard is actually a screen-sized window that covers the real root window completely. Therefore, programs that try to draw on the root window directly won't have any effect.