I think that once you modify the wallpaper setting in the registry, you simply need to run
from the command line and the changes should take effect. You need to make sure that your image is a bmp file.
In fact, I just tried this by creating a desktop sized bmp file that was all red. I changed the //HKCU/control panel/desktop/wallpaper key to contain the full pathname to this bitmap. I ran the above command from the command line and the desktop changed to the red bmp that I just created