A quick way to set your background that works on just about any operating system is to use your browser. When your browser is showing an image, you can right-click on the image and most major browsers will present a menu with an option to the image as the background. This is a lot quicker than messing around with system preferences and trying to hunt down the settings for your desktop.

If the image is already on your computer, you can open it directly in your browser to set it as the background image for your desktop.