Sorry Kemical,
I thought I had it working on Windows 7 at one time, but it's not working now.
It dies work on Vista.......Windows Explorer and Windows Mail.
You have to navigate to HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Toolbar
Add a new string value called BackBitmap and fill in the directory path and file name to the .bmp files location.
You could also change the spinning logo in the right hand corner of IE, but it doesn't exists anymore.
I got it to work, but it only works with Windows Basic theme, not Aero.