Or whenever you come across a pic that you like on a website, you could just right click and "save picture as"....
I created a folder called "Photos" and then d/l pics i want into that...and "Photos" is subdivided into folders of themes...i.e. 4X4, space/fantasy, scenery, art, etc.
If the pic is too small though, it won't look good by the time it's "stretched" to fit the desktop. And you'll want to respect people's copywrite photo's. If you're uncertain, you can always email the site, and request permission.
Usually not necessary though, as long as you're just using the image for personal purposes....like wallpaper. Don't d/l someone's picture if their site says not to, and don't use d/l'ed photo's to put in anything that isn't strictly for personal use.