After you've clicked on the appropriate screen size for your monitor, the wallpaper will download in a new window. Then...

For Windows users:

Hold your mouse arrow over the image and click the right mouse button.

Select 'Set as wallpaper' (or 'Set as background on newer versions of Windows).

For Macintosh users:

Hold your mouse arrow over the image and hold your mouse button down until a pop-up menu appears.

Select 'Download image to disk' or 'Save image as' and save the image to your computer (make a note of where you save it to).

Depending on which version of the Mac OS you're using, use the Appearance Control Panel or the Desktop Pictures control panel to set your background to the new image (load it from where you saved the wallpaper).