Firstly you can prepare the image you would like to set, the resolution for the image should be the same as your screen, for example, if your screen is 800*480, then the background image should also be with 800*480 resolution, so that it's clear enough after setting. You may need to use Photoshop to custom the image, the wallpaper can be chosen as a photo from you or your family, or beautiful scenery, or anything else, the clearer the better, for more wallpapers you can check this site.
After you have already prepared the background image, you can copy the image to a USB device or a micro SD card, then connect the USB with USB cable or insert the SD card into the SD card slot(not the GPS card slot) which is usually at the front panel of the DVD nav unit.
So your USB device has been connected with the unit now, click USB icon in main menu, enter into USB mode, browse files and find out the image, double click the image, then save this image as your wallpaper, then you will see a message "set wallpaper successfully".
This video can also show you how to set wallpaper for aftermarket car DVD player and GPS Nav head unit:
By the way, for Android OS, setting a wallpaper is the same as you set in your Android mobile phone.