Hokay, I hope you are using WP8! http://www.windowsphone.com/en-us/how-to/wp8/basics/personalize-my-lock-screen
Here are the highlights:
In the App list, tap Settings > Lock screen.
Under Background, if you're choosing a background for the first time, tap Choose background. If not, tap the name of the app or service currently providing your background (in your case bing).
Do one of the following:
To choose a photo for your background from those stored on your phone, tap Photo, tap Change photo, flick to the album containing the photo you want to use, and then tap the photo. Pinch your fingers together on the screen or stretch them apart to zoom out or in, and then tap Crop when the image is framed the way you want it.
To get periodically updated images from Bing, tap Bing.
To let an app change your background for you, tap name of app, and then tap Open app.