To save these wallpapers, you can do one of the following:

Right-mouse click on the thumbnail and click 'Download Link to Disk' (Internet Explorer), 'Save Link Target As...' (Netscape) or 'Save Link As...' (Firefox).
Click on the thumbnail, and then select the 'File' menu and then 'Save As...' (Internet Explorer) or 'Save Page As...' (Netscape and Firefox).
Click on thumbnail, right click on image and select "Set As Background" (Internet Explorer) or "Set As Desktop Background" (Netscape and Firefox).