Windows Instructions...
When the image has finished loading, put the cursor on top of the image, hold down the right mouse button and select "set as wallpaper." or "set as background." on newer versions of Windows.

Macintosh Instructions...
When the image has finished loading, hold down the mouse button until a pop-up menu appears allowing you to "download image to disk." When the image is saved, you will use the Appearance Control Panel to set it as a desktop picture.