What browser and OS are you using? I just tried it in both FireFox and IE on Win 7, left-clicked on the image and dragged the image to my desktop. Worked fine for both.
If you want the image to actually display as your background image, that's a different question. In that case, in either FireFox or IE, right-click on the image and select "Set as background".
Edited by strolln, 27 June 2010 - 12:28 PM.