Wallpaper
To download a wallpaper, click on the thumbnail for a full size image. Save this to your computer by right clicking on the image and choosing 'set as wallpaper' or 'save image' to save the file to disk.
If your desktop is a different resolution to your chosen wallpaper, go into your 'desktop properties' ('personalize' in Windows 7), choose 'background' / 'desktop background', and under 'display' or 'picture position' choose the best setting. If available 'fill' or 'fit' will be best (which one will depend on the image and your preferences), otherwise 'stretch' will expand (or shrink) the wallpaper to fit your desktop. (This works in Windows 98 or later - I'm not sure about other systems.)
Alternatively, go to Second Nature and download their screensaver software. This is available free for windows and macintosh, and will not only manage your desktop wallpaper but also allows you to display your selection of images as a screensaver. (Plus the 'stretch' wallpaper option gives a better quality image than the windows 'stretch' option to my eye).
Winamp Skins
If you have winamp installed on your computer, right click on the thumbnail image, choose 'save target' / 'save link', and save the .wsz file in your 'skins' folder. Winamp can be downloaded free from Winamp.com.
Desktop Icons
Save the icons you want to a folder e.g. in documents or downloads. To change the icon for any programme shortcut on your desktop, right click on the icon you wish to change, go to 'properties' and choose the 'shortcut' tab. Click 'change icon', then 'browse', find the folder where you saved your icons, choose the icon you want to use and click 'OK'.
To change the Windows icons for 'my computer', 'recycle bin' etc:
for Windows 7:
Right click anywhere on your desktop and choose "Personalise". Your control panel will appear; click on 'Change desktop icons' in the menu on the left. A 'desktop icon settings' box will appear, click on the icon you want to change, and then on 'change Icon '. Another box appears... click on the 'Browse' button and go to the folder where you saved your icons. Select the one you want then click 'open', then 'ok'. When you're done, click 'ok' in the 'desktop icon settings' box and your new icons should be in place.
for Windows XP - thanks to Ellethwen for these instructions:
Make sure the icons are saved in a folder, such as "Desktop Icons". Then, right-click on your desktop anywhere, and choose
"Properties". Go to the "Desktop" tab, and click the "Customize Desktop" button. A perky little box should pop up, choose the "General" tab. Check the box of which icon you want to change, such as "My Documents". Click "Change Icon", and choose "Browse". Find the folder where you saved your icon, select it, and click "Open". Find your icon in the box below, click it, and click "Ok". Your icons should be changed now to whatever you wanted them to be!
for Windows 98:
Right click somewhere on your desktop, go to 'properties' and choose the 'effects' tab. Select the icon you want to change and click 'change icon'. Click 'browse' and select the folder where you saved your icons. Choose the icon you want to use, and click 'OK'.
If anyone has knowledge of other systems, you are welcome to send me the relevant instructions and I will add them here.