In an administrative command prompt, type:
reg add "HKCR\SystemFileAssociations\.bmp\shell\setdesktopwallpaper\Command" /ve /f /d "reg add \"HKCU\Control Panel\Desktop\" /v Wallpaper /d \"%1\" /f"
reg delete "HKCR\SystemFileAssociations\.bmp\shell\setdesktopwallpaper\Command" /v "DelegateExecute" /f
(If you're feeling lazy, run the batch file instead.)
Now, if you right-click on a .bmp file, choose "Set as desktop background", log out and log back in again, your desktop background will be the exact image file you selected (no transcoding).
Note: Opening the desktop background page of the Personalization control panel applet will transcode whatever image you've selected. To keep the image as your background, you'll have to set it as your desktop background again after closing the applet.
If anyone has a more comprehensive solution, I'd be very appreciative.