One of the silliest things I've seen with this file manager is when I went to place a new backdrop for her in the wallpapers area it told me "access denied" and I was stymied! WHAT??? That's not right. Something is wrong with PCManFM. If it can't allow that something is extremely wrong. I had to put the background in the "pictures" folder instead. That is nuts.
You are just doing a few mistakes. I would suppose you tried to add your wallpaper in the folder /usr/share/wallpapers ? If that is so you can do it, but you must open PCManFM as root to be able to do that : else than your own home all belongs to root or to some system entities, which is the way the security is ensured in Linux distributions.
I say : open PCManFm as root : there is a menu which has for name "Tools", so you first browse to /usr/share/wallpapers and once there you go to the "menu > Tools > Open current folder as root". It's simple in fact.
Another way : in you home user you can do what you want with almost all files (except a few in the /home/user/tmp) so you can create new directories, remove the ones you don't use and so on. There are a few directories created prior providing the ISOs for the comfort of the newcomers, but it could as well be provided with just "Desktop" and "tmp" and it would work as well.
Now you will find also hidden directories ! they can be seen when you select the menu > View > Show hidden
These are meant for the configurations, configurations of the user's applications and environment. You can adapt and tweak some of them, and the preferences you select in applications will be registered in the related files there.
For the wallpapers there is the directory .local/share/wallpapers or maybe .local/wallpapers, I don't remember exactly. You can put your wallpapers there, or create a hidden .wallpapers just in the /home/user directory, and then select the one you want with the menu "Preferences > Desktop Prefs" from the main menu in the Openbox right-click menu.
I hope this will help.