well the documentation on the site tells you how to do it, but anyway, use a program like feh, and add the appropiate command in the pekwm start file to execute feh
Code:
# emerge feh
$ nano ~/.pekwm/
$ chmod +x start
$ nano -w ~/.pekwm/start
then add a line like this at the bottom
Code:
feh --bg-center /home/joe/path/to/wallpaper.jpg