Wallpaper is the common term used to describe the image that is on your desktop as a background image visible when you have no windows open.  Very easy using Windows 95, you have but to right click any image anywhere and select 'Set as Wallpaper', same goes for Windows NT.  For Windows 3.X it is a little more complicated, - you have but to open the control panel, double click the Desktop option, and in that window is a place to choose the wallpaper, though you are limited to using bitmaps. 
For Mac users, choose control panel from within the apple menu, then choose desktop pictures.  On the left hand side of the menu choose pictures or patterns, remove the previous image by clicking 'remove', then browse your hard drive until you find the image you want and click the 'set' button. (note, this is for Mac OS8)
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