Just save the penguin image as a .png and save it in with your other picture files. Make sure that the image has a transparent background. If you're using photoshop, the background will look like a gray checkerboard when it's transparent. I believe since the phone supports .png transparency, when you set the penguin .png as your home screen image, it will look much like what you have posted above. In theory at least. Let me know if that's not the case.
Dang, it didnt work. Seem like a good idea. The phone just converted the image with a white background instead of a transparent one.