Windows 95+.
Once you click your desktop size, right-click on the image that opens and select the option to Save As Desktop (or Wallpaper). To remove the image, right-click on your desktop and select the backgrounds tab in your display control panel.
Macintosh
Click on the desktop size you require, then click and hold the mouse button on the image that opens. From the contextual menu that appears choose Download Image to Disk (IE) or Save This Image As... (Netscape).
(OS 8-9x)
Use the Appearances Control Panel (Desktop tab), 'Place Picture' and browse to the location you saved the image. Open it and 'Set Desktop'. To remove the image use the Appearance Control Panel and 'Remove Desktop'.
(OS X)
Open System Preferences and click Desktop. Use the Collection pop-up menu to navigate to where you saved the image, and select it.