To download your favourite desktop wallpaper or screen saver, do the following.

Wall Paper: Right click the "Download" link and select Save Target As... from the dropdown menu.

You will then be presented with a Browser window giving you the option to select where to save the file. Choose a location that is easy to remember e.g. your desktop.
To enable your new wall paper, go to the Start menu and click Settings, then Control Panel. In the Control Panel double click the Display icon. Under the Background tab click Browse. Using the Browser window select the file from the location where you saved it. From the Background tab you can now select whether you want your wall paper to stretch, tile or align to center.

Screen Saver: Click the "Download" link below to bring up the File Download dialogue box and select "save this program to disk". The "Save As" dialogue box will appear, specify a location that is easy to remember e.g. your desktop. When the download is complete run the installation file "disaster.exe", this will setup your screen saver.
To change your screen saver settings, go to the Start menu and click Settings, then Control Panel. In the Control Panel double click the Display icon. Under the Screen Saver tab you will find the various options.