After selecting the wallpaper you'd like to display, click on the corresponding link with the size of your desktop. Then:
Windows: Right-click over the image and choose "Set As Background."
Mac OS: Control-click on the link below and select "Download Image to Disk" (IE) or "Save this Image as…" (Netscape). Save the file to a location that you will remember. Then go to the Appearance Control Panel, and choose the "desktop" tab. Click on "Place Picture…" and choose the picture you just saved. Click on "set desktop."