LOL!
1. upload the wallpaper to your phone via the SE File Manager and the USB cable. For memorystick: "your phones name"/Memory Stick/MSSEMC/Media Files/Image. For Phone memory: "Your phone name"/Telephone memory/MSSEMC/Media Files/Image .
2. In your phone navigate to the image youjust uploaded and then go to "More" => "use as" => "wallpaper"
3. done :)