Sorry I haven't figured that one out. However, try what
this thread says to do:
1. Register at
http://www.zedge.net.
2. Once on there, set your phone to the Instinct m800.
3. Download whatever wallpapers from the site.
4. Register at
http://www.myxer.com.
5. Try to upload the stuff you downloaded from zedge to myxer, and as you do tell it to send it to your phone instead of saving it.
Additionally, if you save to the same format your phone takes images in, you can set whatever image you get as the wallpaper. If the first steps don't work I suggest doing this instead. Just remember that the screen area is 240x400 if you're interested in reducing file size for other better things.
After a little messing around, you can find or make any image work. Turn it into a jpg, making sure it's those dimensions. Center it as you're turning it into wallpaper.