Click on the desktop image that corresponds to your monitor's resolution -- it will open in a new window. (In Windows, find your resolution by right-clicking on your desktop, selecting Properties, then clicking on the Settings tab. On Macs, find your resolution under Displays in your System Preferences.)
Wait for the picture to load, then...
For Windows users, right click on the image and click on "Set As Background."
For Mac users, control click on the image and save to your Pictures folder or wherever else you usually store images. Then open the System Preferences (under the Apple menu), select Desktop Screen Saver, find the folder that contains your image and select it.