Changing the Windows log-on screen used to involve some complicated and potentially dangerous hacks, but not any more - Windows 7 makes it easy.
First, browse to HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Authentication\LogonUI\Background in REGEDIT, double-click the DWORD key called OEMBackground (not there? Create it) and set its value to 1.
Now find a background image you'd like to use. Make sure it's less than 256KB in size, and matches the aspect ratio of your screen as it'll be stretched to fit.
Next, copy that image into the %windir%\system32\oobe\info\backgrounds folder (create the info\backgrounds folders if they don't exist). Rename the image to backgroundDefault.jpg, reboot, and you should now have a custom log-on image.