ON THE MAC: Depending on what OS version you're using, you change your Desktop background with the Desktop Pictures control panel or the Appearances control panel.
Once you have the control panel open (in either case) and youve chosen the Desktop Pictures option, you can select a picture to use as a background for everything you do.
The easiest way to select the picture is to drag the icon for the file youve just downloaded from the (real) Desktop onto the little computer screen in the control panel.
What I like to do: Put a bunch of pictures in a folder, then drag the folder icon onto the control panel, instead of dragging an icon for an individual picture. What does this do? It tells the computer to pick a random picture from this folder each time you restart the Mac, instead of giving you the same picture every time.
WINDOWS 95: In the Display control panel, on the Background tab, you can click the Browse button to pick any picture you want to use for a desktop background. There may be a way to randomize this. I dont use Windows enough to know.
OTHER OPERATING SYSTEMS: Theres probably a way to change your desktop image, but I dont use any other OSes, so I dont know.