You need to find the hidden Desktop.ini file in the folder that you want to edit. To do that, open the any folder (probably the one that you want to edit to make it easier), go to tools/folder options/view, and then select the radial dial to show "hidden files and folders" (WARNING: this will show many system files and folders that you probably don't know about and shouldn't mess with).
Once you locate the file in the folder that you want to edit, open it in wordpad or any other text editor, and change the code to:
Make sure to change the "C:\YOUR IMAGE.jpg" to reflect the location and file name/type of your image. Save the file after editing, then go back to the hidden file menu to turn off displaying hidden files.
Oh..and this is for XP, earlier versions of windows had this function without all of this messy coding and file changing. I'm not sure about Vista.
IF YOU ARE AT ALL UNSURE ABOUT DOING THIS, I SUGGEST THAT YOU NOT TRY IT UNTIL YOU UNDERSTAND WHAT YOU ARE DOING.