Make sure you have Messenger Plus! Live installed.
http://www.msgpluslive.net/download/
Import this script:
http://www.msgpluslive.net/scripts/view/10-Background-Changer/
Save this picture:
http://img51.imageshack.us/img51/9161/donaldduck2.jpg
Then on your WLM contacts list, select the Scripts
button > Background Changer > Change Background. Click '...' to browse for the image you just saved. Click OK.
...or you can use
Your Skin Control which allows you to choose images for login window, contact list and chat window.