I finally figure out how to change the wallpaper on my PS4. Thanks to a youtube tutorial of course.
For those wondering you have to do this:
From your PlayStation app on the phone you have to send via message to some one the photo you are interested
Go to your PS4 and open the photo you just send from the message
Take a screenshot
Set it as a wallpaper from the settings in the "Theme" menu
I have this wallpaper on my PC and phone since 2011. Never changed it