You can make any picture stored on your computer (or a picture you are
currently viewing) your desktop background by right-clicking the
picture, and then clicking Set as Desktop Background.

Instructions for Windows Vista 

To change the desktop background:

1. Open Desktop Background by clicking the Start button, clicking Control Panel, clicking Appearance and Personalization, clicking Personalization, and then clicking Desktop Background.
2. Click the picture or color you want for your desktop background.
   If the picture you want to use is not in the list of desktop background
   pictures, click the Picture location down arrow to view other
   categories, or click Browse
   to search for the picture on your computer. When you find the picture
   you want, double-click it. It will become your desktop background and
   appear in the list of desktop backgrounds.
3. Under How should the picture be positioned, choose to have the picture fit the screen, tile, or be centered on the screen, and then click OK.

Note: If you choose to have a centered picture as your
desktop background, you can also have a color background to frame your
picture. Under How should the picture be positioned, click Change background color, click a color, and then click OK.