Although Darrangl's suggestion will work, I do it this way.
Modify the "HKEY_CURRENT_USER\Control Panel\Desktop\Wallpaper" value in the registry.
If you want the same for all users, you can do this simply by putting a line in the logon script:
"reg update "HKEY_CURRENT_USER\Control Panel\Desktop\Wallpaper=\\server\share\filename.bmp"
Cheers,
Sam