This is how to add or change the Explorer and Internet Explorer toolbar background image.

First run Regedit : Start > Run > regedit

Then go to : HKEY_CURRENT_USER > Software > Microsoft > Internet Explorer > Toolbar
and in the left pane add a new string value.
The name of the string should be BackBitmap
and its value is the .bmp file and its location.
Enjoy.
Just double click My Computer if u did right then it must work.

To apply the background only to the Internet Explorer toolbar name the value BackBitmapIE5, to apply it only to the Windows Explorer toolbar name it BackBitmapShell.