First of all select or create a image file which you like to show as background of login screen. Now place it in the folder below:
Need root privilege to do this job. You can do it with opening this location with root access. To do that click on Tools in Menu. A drop down Submenu will open. Click on "Open Current Folder as Root". Now you can able to paste the image file here.
I guess you are using 'PCManFm', so take an another tab and open another folder as written below:
Double click the file named 'lightdm-gtk-greeter.conf' or open this file with 'Leafpad'.
Now, change the background option. Change the location (If you place the image file on another folder) or change the filename only. Because you place the image file in the default directory.
Changes will be take effect after a simple logout.
Acknowledgement: Idea and image credit goes to the post "Lubuntu Login Screen: Changing the LightDM Background" published in 'Lubuntu Tips' blog