You can choose from Apple's stock imagery, or your own library. To select another image stored on your PC, select “Image” or click “Browse”.
In any case, you will find yourself in the same place. You can select “Personalization” in the context menu. Right-click on the desktop, select 'Personalization', click on 'Desktop Background' and select the menu you want (the 'Browse' buttons or select an image in the viewer). Right-click on an empty area on the desktop, select 'Properties' in the context menu, select the 'Desktop' tab and select an image from the ones listed in the scroll window.