There is a tool for this called Logon Studio, you can download it here
Be sure to select the download option for Windows XP.
If you want to browse a few good wallpapers for this tool, there are a lot of these here
If you need help with using the tool and the custom wallpapers from my second link, you might want to watch this video;
There is also a manual way to achieve it, which is explained in this
The image you want as new wallpaper should be saved as .BMP format (Bitmap).
You can change any image to that by simply opening it with paint, and then changing the type by selecting .BMP in the Save as File Type
menu at the bottom of the save as window.
Good luck and keep us posted,