Just use the normal method. Right click on desktop background => personalize => desktop backgroud => browse for the file you want.
That menu option is merely a shortcut, not at all needed really. The real work is done in the control panel, which has been available in every Windows version (MS just changes the location in each release, but the option is there).
Thank you very much Mr. Brink. Just what I needed, those ready-to-use REG files (just like your other handy reg files from other tutorials, real time savers). I guess I wasn't able to find the tutorial myself before since it is in the Windows 8 Forums.
To MourningStar, I think Mr. Brink's reply above is the answer/solution to your question/problem.
Since this thread is not too old, I'll allow my self to bump it with the alternative solution which is to - instead of removing - add a new string value in the "setdesktopwallpaper" key, called Extended.
That way the context menu entry will only appear when shift + rightclick is used.
Like so
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