It's called "Dreamscene", they are essentially video files that stream in the background. You should already have some of them as they are "pushed" to you through Windows Update.

Right click on your desktop and select "personalize", then go to "desktop background" and see if you have them under Dreamscene content.

If not, you may want to open Windows Update and selete the Vista Ultimate updates.

But to be honest, they get boring REALLY fast. After 5 minutes of seeing a little stream or the sky, you'll be turning it off again...