In Internet Explorer (Windows): right-click on the image and select the "Set as background" option from the menu that pops up
In Firefox (Windows): right-click on the image and select the "Set as Desktop Background..." option from the menu that pops up
In Chrome (Windows), Opera (Windows), and Safari (Windows): right-click on the image and select the "Save image as..." option from the menu that pops up. Save the image to your local hard drive (be sure to keep track of where you saved it and what you called it), then minimize your browser and any other open windows so that your desktop is visible. Right-click on the desktop and select "Properties" from the menu that pops up. This should launch the Desktop Display Properties dialog. Select the "Desktop" tab, then click on the "Browse" button and browse to & select the image you saved, then click "Open" to close the file-open dialog and finally "OK" to close the Display Properties dialog.
In Safari (Mac): Hold down the Ctrl key and click on the image, then select the "Use Image as Desktop Picture" option from the menu that pops up
In Firefox (Mac): Hold down the Ctrl key and click on the image, then select the "Set as Desktop Background" option from the menu that pops up
In Opera (Mac): Hold down the Ctrl key and click on the image, then select the "Use Image on Desktop" option from the menu that pops up
In Safari (iPhone): Hold your finger on the image; after a few seconds a dialog with a "Save Image" option should pop up. Choose that option. Then exit Safari, navigate to Settings > General > Wallpaper > Saved Photos, and choose the photo you just saved.
In Linux: You're far too smart and tech-savvy to need to be told how to set your desktop wallpaper in Linux.