You can use Esetroot for setting the root window background image.

Note that this only works if no other program has hijacked the desktop and is drawing it's own stuff there

I have taken Esetroot (from Enlightenment) and added a little property to make it actually remember the file name.

Esetroot (Source, 33 KiB)

If you are interested in the Desktop Background Setter, you might also like Xfce4 Desktop Menu.