First you have to create your own DesktopPane, which extends from JDesktopPane. Then you have to overwrite the paintComponent(Graphis g) method, where you draw your image.
One year ago I found a JavaAPI called KIWI. This API was free to use. You will find it
here.
I think, they provide the same functionality, which you want to have, but if you want to do it by your own, you will find a good example.
Hope that helps
Rene