Saving a Wallpaper:
Click the wallpaper you want and it will load in another window, then right click the image and select "Save Image As" or "Save Picture As". Then save it to the folder you want e.g. "My Pictures".

Using a Saved Wallpaper: (XP)
To use the saved wallpaper at a later time, go to the folder where you have saved it e.g. "My Pictures". Double Click on the wallpaper file in the folder that you want to use, this will display the wallpaper in the windows viewer, then Right click on the photo in the viewer and select "Set as desktop background".