How Do You Put Pictures As The Background On The Menuhome Screen Of Your Iphone

I see all of these iPhone's online with pictures in the back of their menu's. Mine is just black and it's really plain can someone help me figure it out? When I set a picture to wallpaper it just goes to the screen when my iPhone is currently locked.. I want it on the home screen. What application do you download for that? Is there a free one? Help! Thanks.