There is a lot of methods to change the background image in wince 6.0. Here I am describing a simple method to change it.
1. Goto the path "C:\WINCE600\PUBLIC\SHELL\OAK\FILES" in your wince600 directory. (Take a backup of windowsce_vgal.bmp and windowsce_vgal.jpg files.)
2. Save your image as .bmp and .jpg format in the file name of "windowsce_vgal".
3. Copy and paste these two files in above directory.
4. Give Build->Build Solution.