From that screen, press the tool button at the top right.
Go down to 'Conversation list settings'
Make sure you check the box for 'Enable custom'
Scroll down and check the box that says 'Use picture'
Then simply press 'Select picture' and pick any pic you want!
If you wanted to, you could actually change the background pic for each individual contact. I just do it for the conversation list, b/c it would take too long to customize it for everyone!