Likewise, i've noticed alot of themes use .jpg's and use the Esetroot option in which you need to have Eterm installed to work. bsetbg should be fine, although i've found Esetroot to be more consistant. Example, i'm using the FluXoDD (Oddworld) theme (very neato
) and my style file has this as the background line at the top:
Esetroot -f ~/.fluxbox/backgrounds/odd.jpg
Same as bsetbg example by aliensub but it works better (for me).
Just make sure you make the ~/.fluxbox/backgrounds dir and put the backgrounds in there.