Setting background color in gvim

set background does not change the background; it tells vim whether your background is dark or bright (light).

You could use your .gvimrc file to set colors specific to gvim. I set my color scheme to slate, desert, or evening because I like light-on-dark color schemes:

colorscheme slate

Or you could add this to your .gvimrc or .vimrc to set the colors to white-on-black:

highlight Normal guifg=white guibg=black