It's just a registry key, so you just need to add it to your ADM templates.

BTW, you can also put the logo into one of the corners. We've been putting a small BMP of the computername in the bottom right-hand corner of the screen since we first implemented Citrix.

As it happens we've got it implemented on the old farm in the login script, however I'd do it via group policy if I was re-implementing it today:
Code:
$Result = WriteValue("HKEY_CURRENT_USER\Control Panel\Desktop","TileWallpaper","1568","REG_SZ")
$Result = WriteValue("HKEY_CURRENT_USER\Control Panel\Colors","Background","0 0 0","REG_SZ")
if Exist("$Netlogon\Graphics\%COMPUTERNAME%.bmp")
	$Result = SetWallpaper("$Netlogon\GRAPHICS\%COMPUTERNAME%.bmp")   
else
	$Result = SetWallpaper("")
endif


Excuse the variables in strings it is a very old script from around September 2001