WINDOWS:

Right-click on the image and click 'Set as Background'

MAC OS X:

Drag the image off onto your desktop
Go to system preferences
Go to the Desktop icons and open it
Choose the 'Collection' drop down and 'Choose Folder' to find the new wallpaper on your computer

MAC OS 9:

Drag the image off onto your desktop
Go to your control panel and choose 'Appearance'
Click 'Set Desktop' and choose the newly downloaded image on your desktop