There are numerous ways to get your favorite picture on your desktop as 'Wallpaper'. You can do it in windows, or you can do it from within a photo editor, such as "Photo Filtre" (yes, it's French)
I just pull up my favorite Wallpaper picture in "Photo Filtre" and then under "Tools" I just click on "Set Wallpaper".
It seems like that holds better than when I do it in Windows.
Good Luck!
Shadow
