Hi Ian
I dont know about firefox but that shouldn't make any difference anyway.
It's a while since I used XP though I still have it on a machine somewhere but from memory the "personalise" option is from Vista and win7. Rob was nearly right though as you right click the screen and choose properties then one of the tabs gives you the option of choosing any of the standard win pics or the pics in your docs / pics folder (use the browse tool if not listed). You'll see the current pic in the top box.
The best format is to have the pics as jpeg format as it's a compressed file and is quick for the system to load, and give the pics names as they are easier to track.
If you can't download a pic directly of the net you can right click on it and choose save as a picture, (assuming it isn't copy protected). If in the wrong format once downloaded, open in paint, photoshop or similar and save as jpeg.
Might not be % accurate but hope it helps
Bob