First of all welcome to the Programming Community. I would like to make a request that if you get help from this community try also helping others with the same.
Also you have posted the query in the Article section where as it should be in the Queries and Expert comments Section
Now you need to load the images and I assume you are facing problem in VC++ and not in C# and or VB. http://www.codeproject.com/tools/wallpaperq.asp
will help you to know how to load a picture and as well as help in showing a thumbnail of the image.