Wait, this isn't covered in the Wiki?
...wow, that's a pretty big information hole. And BlueZero4, this isn't some "zomg obvious" thing... and your suggestion was terrible. Opening a srb2.srb with XWE without the proper precautions in place will result in the changing, and therefor corruption of his srb2.srb, making it so that he would have to download the entire game again. It would be better to just tell him what the lump name has to be, or at the very least explain what he has to do in better detail to ensure that he doesn't fuck up his installation.
In any case, to prevent XWE from altering srb2.srb upon opening the file, change it to a read-only first. I'd suggest doing the same with all of the base wad files(the .plr, .wpn, and .srb files, and drill.dta), since they do not change.
Anyways, the lump name for the level select picture is MAPxxP(xx being replaced by the map number). Be sure that your image is 160 x 100 pixels, and fits the SRB2 pallette.