Knows anyone how to set a picture in xsi as background?
rends had it (KLICK ME!)

Click on the pull down that lets you go between wireframe, textured etc. Look for something that says rotoscope. Click it, a pop up box will ask you to choose a file, do so, the picture will now be in the background. There are ways to zoom in on the picture and then the model separately but I can remember off the top of my head.

Just for the record you spelled click wrong

An alternative to using Rotoscope is to use image planes instead which is actually what I prefer, in my opinion it's much easier to work with in your scene.
You can learn how to setup image planes in your scene by reading the first part of this tutorial:
Huey modeling
OR the Softimage wiki:
Basics of Rotoscopy