Please forgive my Windows computer for not knowing English...

How to install a wallpaper on your desktop.

Rightclick the wallpaper you want to choose. In the submenu choose Save image as...

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Choose any location where you want to save the wallpaper. If you are not sure then just press Save.

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At the bottom of your screen you will see a download starting. Rightclick the file when finished and choose Show in folder from the menu.

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In the new window which now popped up you will probably see a lot of files. Among them you will see your wallpaper. Rightclick it and then click Set as background.

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Congratulations! You installed your wallpaper.