Find a picture/background and place it on a memory stick in the X:/PSP/PHOTO directory, if you don't have that directory just create it. Now you press triangle.
Go to settings then theme settings. Go to background and you can change it there. If you have pictures you can change it to pictures that are loaded on your PSP.
Found the back ground you would like and place it on your memory stick,in the X:/PSP/PHOTO directory. You can create one if you do not have one all ready.
I can't fit in 20-30 words properly, but if you google "how do you change psp background," the very first result offers great advice to help you out. good luck!