When the image below is complete, move your cursor over it. Then hold your mouse button down until the menu appears and select "Download Image to Disk". After the image is downloaded, open Control Panels from the Apple menu, select "Appearance" and choose "Desktop". Click "Place your picture…" and navigate to the downloaded image. Then click on the "Set Desktop" button.
If you are a Mac OS X user, after downloading the image open your System Preferences, click on the Desktop icon and then drag the image file into the well.