Há um tutorial no site da microsoft que mostra você, como fazer isso. Você também pode definir uma apresentação de slides:
To change your lock screen picture
You can choose just one favorite photo to use as a lock screen picture, or pick a few to create a lock screen slide show.
Swipe in from the right edge of the screen, tap Settings, and then tap Change PC settings. (If you're using a mouse, point to the lower-right corner of the screen, move the mouse pointer up, click Settings, and then click Change PC settings.)
Tap or click PC and devices, then tap or click Lock screen.
If you want to use just one photo on your lock screen, tap or click Browse, and then choose the picture you want (you can choose photos on your PC or SkyDrive).
Tap or click the picture you want to use to select it, then tap or click Choose Image.
To play a slide show on your lock screen, tap or click Play a slide show on the lock screen to turn it on.
Tap or click Add a folder and browse to the folder where you saved the pictures you want to use.
- Tap or click the folder to select it, tap or click Choose this folder, then tap or click OK. You can pick up to ten folders