Its real easy to change if your already syncing your phone with Zune on a PC. Just add a photo to Zune and download to mobile. Then you can easily use the option in Settings to change it to your newly downloaded picture. If your not syncing with Zune then I'm not sure how to do it maybe email the picture to yourself? not sure of that would work - but I have to say the syncing music and photos with Zune on the PC is one of the coolest things that WM7 has to offer - wireless syncing this way is just so easy.
