There are a couple of ways to do it.
The usual way is to add a line to the init file found in /home/your user name/.fluxbox . For me that line reads
session.screen0.rootCommand: Esetroot -f /usr/share/commonbox/backgrounds/dcdiamond1280x1024.png
but if you don't have Eterm then change the Esetroot to bsetbg
Also, on the version of Fluxbox I have installed there is a part of the menu (found in ~/home/ian/.fluxbox)
which references the aforementioned file and allows you to change it direct from the menu but i'm not sure whether this is a permanent change by default or whether you have to set it each time.