The walls are controlled by script. It's not a real wallpaper changer.
You'd have to go into DXBuilder mode, open the properties of the object, go into the script and enter the path to the picture you want that object to set as your wallpaper. Then you'd also have to change the object's thumbnail image, but that's more trouble than it's worth.
There are lots of cool wallpaper changer widgets here which you can search for.
I'd recommend the
OMNI Wallchanger by Tiggz
