For Quick Change:
Click the picture and the wallpaper will load in a new window. Then right click the image and select "set as wallpaper". WALA! Your chosen wallpaper is now yours.

For Proper Change:
Click the picture and the wallpaper will load in a new window. Then right click the image and select "save image as". Save the image in the folder of your choice and click save. Then go to your desktop and right click your current background anywhere but the icons. Select properties and then click the desktop tab. Once there click browse and select the file you saved earlier. It's easy! Click ok and you're done!