procedure TForm1.Button1Click(Sender: TObject);
var
  sWallPaperBMPPath: string;
begin
  sWallPaperBMPPath := 'C:\[WinDIR]\wall.bmp';
  if not SystemParametersInfo(SPI_SETDESKWALLPAPER, 0, Pointer(sWallPaperBMPPath),
    SPIF_SENDWININICHANGE) then
    ShowMessage('Succesful.')
  else
    ShowMessage('Failed!');
end;


// 3. Set the wallpaper for the Active Desktop.
{
  You may have noticed that using SystemParametersInfo to change the wallpaper
  when ActiveDesktop is turned on doesn't work. The reason is because you need
  to use the IActiveDesktop COM interface. Using SystemParametersInfo still works,
  but it doesn't update the wallpaper.
  Requires Internet Explorer 4.0 or later).
}

uses
  ShlObj, ComObj;

function ChangeWallpaper(aFile: String): Boolean;
const
  CLSID_ActiveDesktop: TGUID = '{75048700-EF1F-11D0-9888-006097DEACF9}';
var
  hObj: IUnknown;
  ADesktop: IActiveDesktop;
  str: string;
  wstr: PWideChar;
begin
  hObj := CreateComObject(CLSID_ActiveDesktop);
  ADesktop := hObj as IActiveDesktop;
  wstr := AllocMem(MAX_PATH);
  try
    StringToWideChar(aFile, wstr, MAX_PATH);
    ADesktop.SetWallpaper(wstr, 0);
    ADesktop.ApplyChanges(AD_APPLY_ALL or AD_APPLY_FORCE);
  finally
    FreeMem(wstr);
  end;
end;