Select the size that matches your monitor's resolution. Let the image load fully into your browser. Right-click (Control-click on Mac) and choose to set the image as your wallpaper or Desktop Background.
PC Users: Set the icon in your AIM application automatically by clicking the "Set icon in AIM link next to your prefered icon. You can also save the icon to your computer and install it through your IM application's settings or preferences.
Mac Users: click your buddy icon and choose "Edit Picture" or "Choose Icon". Drag the buddy icon from your browser into the image well in your IM application.