First, decide which image you would like to have there first, and transfer it to your device, in a folder you can find again easily in a moment.
Next, open XBMC and follow this route:
System>Appearance>Skin>Settings>Background Options>Enable Custom Background
Click that option (assuming it isn't already enabled), then go down one line to Background Path and select it.
Now navigate to the folder you put the picture in and click on the file.
You're done!
If you want it to look nice, the resolution of the picture should be around 720 or 1080 pixels high and widescreen.
Not a dumb question at all by the way. I'll move this thread to the FAQ and rename it, hope you don't mind!