Careful with this one - can be slippery when wet. I suppose you what to know how to get it on the desktop now. There are a number of ways to set the chosen wallpaper as your desktop wallpaper / background. One way is to right click the desktop background below and then choose 'save target as...' (IE & Opera) or 'save link as...' (Firefox). Don't forget where you saved it though! Now go to wherever it is you normally set your desktop backgrounds for your computer and selected the saved wallpaper.
Another way is, when the full screen image has loaded, right click it and choose 'save image as...' or 'set as Desktop Background' or 'Set as Background'. When you're ready - you'll know what to do. I think you have it in you. In fact you probably already know. I'll shut it now then.
Return to wallpaper thumbnails.