Just follow some simple steps:
1. Click on start and open run.
2. Type regedit in Run panel. Press enter.
4. Now open OEMBackground entry.
5. Change the value in Value Data field from 0 to 1.
6. Click on OK.
7. Now open C:\Windows\System32\oobe.
8. See for the folder info. If it is not there then create a new folder with name info.
9. Create a new folder in it with name Backgrounds.
10. Now choose your JPEG(jpg) wallpaper and change its name to backgroundDefault.jpg.
11. Copy and paste this image into Backgrounds folder.
12. If any other image is already there with same name then change its name first and then copy your image here.
NOTE: file must be less than 256kb
You can place your message on logon page. Learn here how to place your message on logon page.