I can't change the background

I’m working on a 3D model of the U.S.S. Enterprise from Mad ship yard (see link below). No matter what I do I can’t change the background from black to anything else. With other projects it’s not a problem but with this mesh it is. Does any one know how to be able to change the background on this mesh.

http://www.madshipyard.com/Downloads/Ships/MM_STXIV4_Blender.zip