Using the "Background" drop-down menu and select Picture. Click the Browse button. Browse to the location with your images, pick the wallpaper, and click Choose picture. Right-click the image and select the monitor you want the wallpaper to show.

To change desktop backgrounds individually for each monitor, head to Settings > Personalization > Background. Under Choose Your Picture, right-click a background image and select "Set For Monitor 1," "Set For Monitor 2," or whichever other monitor you want to use it on.