How To Use Wallpapers
Windows: Right-click it and choose Set as Background or Set as Wallpaper.
Mac OS X: Drag it onto your desktop, go to System Preferences, go to the Desktop icons, click the Collection drop-down and Choose Folder to find the new wallpaper on your computer.
Sony PSP: Right-click it and choose Save Picture as..., and (with your PSP connected via USB) save it to the PSP\PHOTO folder on your PSP (create this folder if it doesn't already exist, in capital letters). Then from Home go to Photo and choose Memory Stick, find the wallpaper you just saved and press square to view it, then triangle to access options and choose Set as Wallpaper.