To download individual wallpaper: Select a wallpaper size closest to your screen resolution setting. Right click the link below the image, select "Save Target As" to save the wallpaper to your computer.
To download the complete wallpaper set: Select a wallpaper size closest to your screen resolution setting. Save the download file to your computer. Double click the file after the download is completed and click on "Run". (The wallpaper set downloads are self-extracting zip files. All they contain is the wallpaper set, no spy ware or viruses, no bullshit involved.)
To set the wallpaper: Open the wallpaper, put the cursor on top of the image, right click and select "Set as Desktop Background".