Choose the option 'Save target as...' (Microsoft) / 'Save link as...' (Netscape) and save it to a folder you will remember.
When this is done, minimise all your windows, right-click on an empty piece of desktop and a pop-up menu should appear. Left-click properties. Under the 'Background' tab, there is a list titled 'Wallpaper' click on the 'browse button, locate the file you downloaded, select it and click OK.
