PC: Click on the photo with your right mouse button. When the little pop-up window appears, choose "set as wallpaper."
Mac OSX: Control-click photo and select "Download image to Disk". Save image to desktop. Go to Apple menu > System Preferences > Personal section and select "Desktop". On the "Collection" pulldown menu, go to "Choose Folder" and locate the appropriate picture.
[click here if you have a smaller monitor]