"Wallpaper (also desktop picture and desktop background) is an image used as a background on a computer screen, usually for the desktop of a graphical user interface. "Wallpaper" is the term used in Microsoft Windows before Windows Vista (where it is called the Desktop "Background"), while Mac OS X calls it a "desktop picture" (previously, the term desktop pattern was used to refer to a small pattern that was repeated to fill the screen)."
Wikipedia®
OSX:
OS9:
Or,
Click the right mouse button on the image and select "Save Image As…"