Please choose an image in the correct size (your current screen-resolution is ) und right-click the link. Choose 'save target as...' from the context menu. Save the image in the Windows-folder (most named as WIN98/Windows/WINNT or WINXP). The wallpaper now appears in the list of Control Panel->Display->Desktop. An alternate would be to choose 'use as background' from the Browser's context menu.
Using the jpg-version you have a smaller filesize, but the quality s not such good. And you have to acitvate the Active-Desktop. So we would recommend the bmp-version, although the download might take a while.