Macintosh:
Click and hold your mouse over the image.
A menu will pop up. Choose "Save This Image As," and save it to your desktop.
Open the image in any image-editing program (i.e. - Photoshop, PaintShop, MacPaint, etc.).
Choose "Select All," then choose "Copy" from the edit menu.
Go under the Apple menu and select "Control Panels," then "Desktop Patterns."
Go under the Edit menu and choose "Paste." Click the "Set Desktop Pattern" button.
NOTE: If you're unsure of your computer's resolution settings, the easiest thing to do is to install one wallpaper following the instructions above. If it doesn't fit your desktop properly, try installing another and another until you find the one that fits the best.