Backgrounds and Backdrops
The stage of your scratch program is a type of object, and because it is an object it can be controlled via programming.
Like Sprites the Stage can have its own "costume" that changes how it looks. This makes it easier to make your games, animations and stories look like they are taking place somehwere rather than just on screen. On the Stage these costumes are called Backdrops or Backgrounds, and you can use a command to change them.
The change backdrop command is in the purple looks library