When the image has fully loaded, put your mouse cursor over it.
Right-click on the image.
Select and click "Set as wallpaper" or "Set as background" from the pop-up menu.
Close this window.

NB. If the wallpaper doesn't look right, you may need to change your wallpaper settings.
To do this:
go into your windows Control Panel,
click the Display icon,
go to the desktop Background tab,
select the Position settings and
change it to Stretch