PC: right click on image and 'set as wallpaper'

MAC(OS 9): Drag the image onto your desktop. Then go to your Apple menu, select Control Panels, select Appearance. In the Appearance window click "Place Picture." That will open up a search window. In the search window find the image on your desktop then select the image and click "Open." Then in the Appearance Window click "Set Desktop".

Mac (OS X): Drag the image onto your desktop. In your Dock click on the "System Preferences" icon. That will open the System Preferences window. In the System Preferences window, under the heading "Personal" click on the "Desktop" icon. Then drag the image file into the well.