You can only change the wallpaper with the "slide to unlock" screen. You can do this by going to your cameraroll and on the bottem left is the launch button (square with a little arrow) when you select the picture you want and push this button the 'Use as Wallpaper' option will be there.
Note: you can't change the background or colors of the home screen unless you jailbreak your phone. Hope this helps.
