Ciao devi usare l'api SetParametersInfo
saluti
Ps. potrebbero esserci errori, non è testato.
Private Declare Function SystemParametersInfo Lib "user32" Alias "SystemParametersInfoA" (ByVal uAction As Long, ByVal uParam As Long, lpvParam As Any, ByVal fuWinIni As Long) As Long
Private Sub Command1_Click()
Dim strFilename As String
Dim ret As Long
strFilename = "c:\sfondo.bmp"
ret = SystemParametersInfo(ByVal 20, 0, ByVal strFilename, &H1)
End Sub