Do you want a solid black or something that actually looks somewhat decent? If you want solid black, just go into your favorite drawing program (or Paint) and create a small drawing that is all black. Move it to your phone via USB or Bluetooth, and import it as your wallpaper.
If you want something that is black but looks a little better (with gradients and such), check google images for black wallpaper (or just follow this link). Then import it to your phone and set it as wallpaper. Of course, you can save an importing to your phone process if you do this through your phone.
You can also use one of these wallpaper app that are just black based wallpapers. The link "should" for either checking it out on the web or send you to the market page when you click on it with your phone.
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If you are just trying to figure out how to change your wallpaper in general, long any blank spot on your home screen, and choose wallpaper. This will give you the option to choose a default wallpaper, or one that is in your gallery (on your sd card). Alternatively, from your homescreen, you can press menu, then wallpaper.