Setting different wallpaper for each screen is really more difficult than on Windows or OS X but isn't that difficult
There are just 2 steps.
First install GNOME Tweak Tool using command line.
sudo apt-get install gnome-tweak-tool
Now we have to stop file manager from handle the desktop background.
The desktop is now gone black, so we can use another application to handle it
Second, install nitrogen.
sudo apt-get install nitrogen
But nitrogen doesn't have icon so we have to launch it from a command line by typing
Now we can set different wallpaper for each screen.