Yea, XP doen't have native support for this, but there are sharewares and tweaks abound to accomplish this.
For the tweak,
1. *www.thinkdigit.com/forum/viewtopic.php?t=26531&highlight=folder+background
2. *www.tweakxp.com/article37485.aspx
3. Goto *www.kellys-korner-xp.com/xp_f.htm and scroll down to "Folder Backgrounds - Customizing"
For sharewares,
1. *www.sodabush.com/products/windowpaperxp/index.php