You bet!  In the assembly room, do you see the scene tabs?  One says effects?  Under effects, you have Ambient, Atmosphere, Background, Backdrop, Physics.  Click on Backdrop and then the little down-arrows icon to access a list of choices.  You can choose none, bi-gradient, color, flash, formula, or map.  Choose "map" to load an image file as your backdrop, choose color to select a solid color of your chosing, etc.  Same thing if you want to alter the background. 

Irene-