The image will open in the browser window. Click on the image and hold down the button until a menu pops up. Select Save this image as... from the menu to save the image to a location on your hard drive. Remember this location.
Choose Control Panel from the Apple menu, and select Appearance (or Desktop Pictures if you're not using OS 8.5 or higher).
In the Appearance window, click Place Picture... (click Remove Picture first, if necessary) and browse to the location of the saved image. Select this image and then click Set Desktop.
The image will open in the browser window. Control-click or right click on the image and select Download image to disk... from the menu to save the image to a location on your hard drive. Remember this location. Hint: a good location to save desktop images is the Pictures folder in your home directory.
Open System Preferences from the Dock or Apple menu and click on Desktop. In the Collections drop-down, choose Pictures folder if you saved the background there. Otherwise select Choose Folder and browse to the folder where you saved the image. Drag the image into the well to set it as your background