I have not done this myself but here it is if someone wants to try it
Step 1:
Copy this code into notepad (copy and paste), then save it as "desktop.ini"
Code:
Content, Pictures and Download links visible to registered users only.
REGISTER NOW to access all areas that are invisible to non-members.
Step 2:
Put "desktop.ini" file onto your flash drive and replace "your_picture" with the
name of the picture you want to use leaving the .jpg extention the same.
Step 3:
Now copy the picture that you want to use onto your flash drive.
Step 4:
Refresh (F5) or Go back to My Computer and open your flash drive again ..and enjoy with new background