Right click on the picture and choose 'save image as', then save it to your windows directory.
There could be several issues going on here. A) You have to have it in the right directory on your computer, I think *most* versions of windows want it in the windows directory. B) You MAY also have to have it converted to .bmp format to be wallpaper, but it *should* allow you to use the .jpg file as wallpaper. What Operating System are you using?