Click the picture you want to download as wallpaper. When the image has loaded, right click on it and choose 'set as background'.
If this does not work (due to security settings) then you will need to do the following:
1. Left click on the picture and "select save link in new window" and the image will then appear in a new window.
2. Right click on the image and choose the option to 'Save Picture As'.
3. Save the image in a convenient area (eg 'My documents') noting the location and image name.
4. Close the window with the image in and go to the main desktop (where the wallpaper is displayed when you have no windows open).
5. Right click in a blank area of the desktop and select 'Properties', and a box will appear.
6. Select the 'Desktop' tab and then click on 'Browse' to find where you stored the wallpaper.
7. Once you have found the image name, double click on it, and then click 'Apply'. The wallpaper should be displayed. To 'set' this click on 'OK'.

For Mac OSX users:
1. Click on the wallpaper picture you wish to use (it will open in a page on it's own).
2. Ctrl click on the large image and select 'Use image as desktop picture'.