Save it to your computer. Start ActiveSync and connect your pocket pc to your computer. Then explore the device and copy the picture from your computer to someplace like the My Pictures folder on your device.
For a phone (this might be the same) go to Start > Settings and then "Home Screen" There you can choose background image and it should be listed there. If that doesnt work then you should be able to go to your file manager and then browse to the folder you saved the image to. When you find the image, view it, then choose File > Save As > Wallpaper/Home Screen.
That should cover it I hope. Glad you like it, I have the blue one set for mine.