Most of the information here is for Warzone 3.1 and above.
Overview
When you load Warzone, you'll notice that there's an image behind all of the menus. There's also an image shown on the end credits screen when you exit the game.
This tutorial shows you how to change those images. Note the folder locations in the panel to the right.
Image Format
Images must be in PNG (Portable Network Graphics) format with a resolution of 1024x1024 pixels.
The image will be stretched to fill the screen without maintaining aspect ratio – so bear this in mind when adding text, logos or other fine detail to the images!
Menu Backgrounds
The game will choose a random menu background image from files named "backdropX.png" (where X is a number, starting at 0) in the "bdrops" folder.
You can overwrite an existing image by using the same filename (eg. "backdrop4.png"). You can add new images by using numbers greater than 6 (as of Warzone 3.1 Beta 10 - may be more default images added in future).
End Credits Screen
The end credits image is shown on the Exit Screen. The image must be called "credits.png" and be located in the "bdrops" folder.
Unlike menu backdrops, there can be only one credits.png screen.
Your credits image should mention Pumpkin Studios and EIDOS Interactive, the original developers/publishers of Warzone before it was released as open source.
Example
Download the credits.wz mod and install it. Load Warzone, then exit the game - you should see a new end credits screen like the one shown below:
There's also a gallery of Old Menu Backgrounds.
File locations
The backgrounds that come with Warzone can be found here:
base.wz or 
base
texpages
<image files>
If you want a custom background in your mod, it should be stored here:
<your mod>.wz or <your mod>
texpages
<image files>
The image file names are important!
See the guide to the left for details on file name conventions.