Custom Background Help

Hey guys! I know this may be a bit of a newbie type question but I'm going to ask it anyways. You see, I want to change the background for my PSP that has the 3.03 OE-B Firmware on it and you can do this by going to your pictures, selecting the picture you want and pressing Select to set it, but whenever you goto USB mode or another menu function like USB mode the background goes away! Now, I really like having my background behind the cool PSP theme colors and I was just wondering if there was a way I could make the background set permanently. Can anyone help me with this? Thanks!

---EDIT---

Ooops, I've just found out how to permanently set the background, but I was just wondering if there was a way to set the theme colors over it like you do for temporarily setting the background. Can anyone help me? Also, the background goes black anytime I put the PSP into sleep mode, turn it off, or execute a program. What's up there!?