I also find a lot of Vista's changes to be fairly arbitrary and befuddling too, but at least I know how to change the desktop picture!

There are a couple of ways to do it, but the easiest is to right-click on the desktop itself, which gives you the following contextual menu:

You'll want to choose "Personalize", which then gives you a pretty impressive number of different choices, including the following:

As you can see, the key choice is "Desktop Background", which, as described by the helpful commentary, is how you change your desktop picture!

Click on it and you'll see a good number of different desktop images, organized into about a dozen categories. My favorite? Vistas (since we're talking about Vista anyway, right?)

I have to admit, the photos included are gorgeous. The image highlighted above is what I opted for, and the final step is to specify whether you want it to stretch, tile or center on your desktop:

Make that final decision, click "Okay", and you'll have the desktop picture of your choice in Vista before you can say "why did they have to change this part of the interface anyway?" :-)