Windows instructions
Click on the wallpaper link that you wish to download. This will open the image in a pop-up window. After the image loads, right click on the image and select "Set as wallpaper" or "Set as background" on newer versions of Windows.
Macintosh instructions
Click on the wallpaper link that you wish to download. Control-click or right click on the image and select Save image to the desktop. Then launch System Utilities, select Desktop and Screensaver to set the image as your background.