I have seen a lot of people asking how to do it. Well, here is a tutorial on how to do it.
First, you need to create an album for your profile images. You will have a column called "Albums" on your right of your profile. At the bottom of the Album box it says show all albums, click it.
Then you will see a list of the albums you have. At the bottom left corner it says "Add Album". Click it.
Change the setting to "Profile - Pictures used to modify your profile style" also add a title to it. Then click on 'Submit'.

Next have a background image ready on your computer. You need to upload the picture to site(tinypic, photobucket, etc). Click on "Upload Pictures". You can upload three pictures at once.
After you have uploaded your picture, it gives you some options. If you want to change the name, or just delete. Click on "Save Changes" only. Now you will have a picture in your profile album.
Go back to your profile, and the click on "Customize Profile". For the background. You want to use the "Main" column.

Click on the yellow box. Then you will see a box with the picture you just uploaded. Click on the picture, and the link to it will show up in "Background Image". After that click on "Save". Go back to your profile, and you should have a background.