There are 3 ways to change the image OSX starts up with.
1. Save your new image in the path /system/library, and then change the loginwindow prefs: (command may wrap)
sudo cp /path/to/picture/picture.jpg "/library/desktop pictures/picture.jpg"
sudo defaults write /Library/Preferences/com.apple.loginwindow \ DesktopPicture "/Library/Desktop Pictures/Aqua Blue.jpg"
2. Replace the startup screen image
sudo mv DefaultDesktop.jpg DefaultDesktop.jpg.old
sudo cp /Path/to/picture/you/want/to/use/image.jpg DefaultDesktop.jpg
3.There's a shareware application to do it for you - it also does the login window as well.
Download Visage from http://keakaj.com/visagelogin.html and register for $4.95.