Hmm I believe that you're wanting to set your background as a picture slideshow. Unfortunately there is no way to do this without some type of third party software. In Windows Vista and up you can set your background to change.
You can, however, set your screensaver to be a picture slideshow by doing the following:
Start,Settings,Control Panel,Display; Under Screensavers you have My Pictures Slideshow;
Then select the folder you want to use for the pictures.