Right click on the image and click "Set as Background"
MAC (OS 9.X):
Drag the image onto your desktop, then click the "Desktop" tab in the Appearance control panel. Drag the picture onto the sample screen, and click "Set Desktop."
MAC (OS 10.X):
Drag the image onto your desktop, then open System Preferences and click "Desktop." Drag the image from your desktop to the "Current Desktop Picture" sample screen.