OP, I was able to pick a virtual background. however, now I can see the virtual background plus the room I'm in so the image is blurry and messy.

You have to click on Virtual Background and then add a photo. I tried it but it didn't work on my laptop because it said I needed to have a green screen also.

I use the free version and I can do it. I was able to create my own background using a photo but I'm not sure how I did it.

I looked through the instructions and I'm still unable to set up a background image on Zoom. I'm wondering whether it's because I use the free Zoom option.