How to apply a background image?

This is driving me mad - I find heaps of results on Google, and they all say "format>sheet>background". Where the heck is "format"?!

I've been using Excel 2007 for several years now, and I still can't find anything.

EDIT: found it - there's a 'background' button in the main 'page setup' toolbar. Presumably the 'format>sheet>background' thing was pre-2007.

Now my question is what image dimensions should I use to fill an A4 page? Does Excel have a specific dpi that I need to consider? I have Photoshop experience, I just need to know what Excel is looking for.