You have to click on download and then if you're running Internet Explorer right click on the image and choose "set as wallpaper" or "set as background", depending on the version of Internet Explorer you're using. Hope that helps!
up on the right side of the photo there's the add to favorites button and then under that button it says "download image". once you lcick there it will open another window and start downloading the photo on its original size. that's when you right click and choose "set as desktop background". let me know if you got it to work