Well, it seems really overkill to use a 800x600 picture, which will need to be loaded from disk into RAM then into VRAM, just to display a fullscreen color. Not to mention it is not portable from a resolution to another (ie if you resize the window to 1024x768, part of your picture won't mask the window).
You could easily achieve the same effect with a 1 pixel picture (stretching your image) or without a picture with a simple quad (using OpenGL, or maybe a SFML Shape).