Click on the User Options button (see the red arrow in the following image),

then click on the Online tab (see the red arrow in the following image), and click on the table icon at the right of the label Choose Background (see the blue arrow):

Then click on the background you like and press the bottom right Ok button.

If you see a partially transparent background, it means you have not bought it yet, but you can buy a new background anytime by going to the SHOP, where you can click on the Background icon (see the red arrows below).