if you are using windows xp (i think this works with 98 and me also) if you are then find the picture file on your hardrive, maybe on your desktop, where ever you put the picture and open it up with "windows picture and fax viewer" which is the default program that is used when you install windows, so it should open up with that.

anyway when you have it open just RIGHT click on it and in the dropdown menu that appears select "set as desktop background.

that's it, it's a lot simpler than it seems from what I've written.

good luck.
-Jay