Ok, the best way that I've found to do this is to start with two objects. One is the 'Wallpaper' object, and the other is the scripted 'Controller' object.
Step One: Create a new object, and in the summary tab make Top = 0, Left = 0, Width = 100% and Height = 100%. Also, change the Object ID to "Wallpaper". Apply etc. and close properties. (yes, I know you'll have a huge circle on your desktop)
Step Two: Make another new object, and create a script for it, something like this...
Sub Object_OnLButtonUp(x,y,d)
If d = False Then
DesktopX.Object("Wallpaper").Picture = "F:\Profiles\Justin\My Documents\My Pictures\Wallpapers\Abaddon.jpg"
End If
End Sub
Basically what this does is changes the picture for the Wallpaper object when this controller one is clicked on. Do you see how this could be expanded into a menu object of sorts, with each button changing to a different picture? Comment here if you need more help... I'm thinking I'm going to be writing a bit of a tutorial on this. Good luck!