CAPITALIZED words refer to a folder or language that you choose. We use CUSTOM for your template and ENGLISH for your language by default. These generic terms should be changed to the name of the template/language you are using.
By default Zen Cart uses header_bg.jpg for the name of this image, but you can use you own filename for the background image.
Using an image editor, create a new background graphic and save it to includes/templates/CUSTOM/images/your_header_image.???.
Now open your stylesheet.css and find or add the following code.
Change the file name to that of your own header image, adjust the width and height to those of your header image, save the stylesheet and upload both files to your server.