Although there are scripts out there that allow you to actually change the background color, a general way is as follows:
– Make a new layer (Windows>Layer to show layer palette)
– Drag out a Rectangle or Frame Rectangle (Rectangle tool of Rectangle Frame tool) to fit the size of your document.
– Make that rectangle’s fill color the color you want your background (select it & use the swatches palette).
That’s it. You can now lock that layer if you like.
If you were doing a multi-page document, you’d want to do the above on a Master page.