http://www.troopers.fi/~juuba/DCS/customthemes/how-to.txt
http://www.troopers.fi/~juuba/DCS/customthemes/themes_Aziz_the_Combat_Fighter.zip
http://www.troopers.fi/~juuba/DCS/customthemes/themes_Hornet-DCSfi-GNRJungle.zip

Unzip the files to "saved games\dcs\mission editor"

Then enable User Theme from DCS Configuration(gear icon) / MISC / Theme

Like here:
https://i.imgur.com/FtcKDOf.jpg


Got the info how to do it from:
https://forums.eagle.ru/forum/english/dcs-world-topics/mods-and-apps/229720-how-to-setup-user-theme#post229720

Steps to create
1. Go to C:\users\<username>\saved games\dcs.xxx\missioneditor\
2. create a folder 'themes' if not exists
3. create a folder 'main' in 'themes', if not exists
4. create a folder 'ME' in 'main', if not exists
5. put your customized wallpaper picture into it (base-menu-window.png)
6. you can also put customized load picture (loading-window.png) in the same folder
7. for customized BGM: MainMenuLoop.ogg under Sounds\EditorMusic

My added step8: The game will play the MainMenuIn.ogg default audio if not included in user theme. 
Make it an empty file to skip the MainMenuIn-sound from playing.