uses

 ComObj, ShlObj;

procedure ChangeActiveWallpaper;

const

 CLSID_ActiveDesktop: TGUID = '{75048700-EF1F-11D0-9888-006097DEACF9}';

var

 ActiveDesktop: IActiveDesktop;

begin

 ActiveDesktop := CreateComObject(CLSID_ActiveDesktop) as IActiveDesktop;

 ActiveDesktop.SetWallpaper('c:\windows\forest.jpg', 0);

 ActiveDesktop.ApplyChanges(AD_APPLY_ALL or AD_APPLY_FORCE);

end;