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Does anyone know how I can do that?

Generally, your phone has to be jailbroken to do that.

However, I did read where some people were able to replace the User Wallpaper and lockscreen wallpaper on non-jailbroken phones using DiskAid.
 
I'm using iPhoneBrowser, I found the folders, but what do I rename the wallpaper to? And what do I rename the background for the lockscreen to?
 
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