I'm not sure if this is what you're driving at, but in XP if you open up a folder, right click in it and select the "Customise this folder" option. You can reach the same option from the "View" drop down menu.
Under Windows 98 (I'm going from memory here so this may not be 100%) start Windows Explorer (Start, Programs, Windows Explorer) then select to the folder you want to alter.
Right-click the desired folders background, then select "Customise this Folder".
You get 3 (I think) wizrad driven choices: 1. Create or edit an HTML document, 2. Choose a background picture, 3. Remove customisation.
I could be a little awry there, but its along those lines.