You should choose a resolution that matches your computer or as close to it as offered.

Windows: When the image has finished loading, put the cursor on top of the image, hold down the right mouse button and select "set as wallpaper." or "set as background." on newer versions of Windows.

Mac: When the image has finished loading, hold down the mouse button or control key, until a pop-up menu appears allowing you to "download image to disk." When the image is saved, you will use the Appearance Control Panel to set it as a desktop picture.