To set an image as wallpaper, you have to click on it with the right mouse button and choose the option "Set as Background" in the menu.
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Choose the resolution you need:
Standard
800x600
1024x768
1280x960
1280x1024
1600x1200
Wide-Screen
1280x800
1440x900
1680x1050
1920x1200
2560x1600
Others
iPhone (320x480)
iPhone 4 (640x960)
PDA QVGA (240x320)
PDA VGA (480x640)
PSP (480x272)
Your resolution is most likely
.