Some sites offer desktop pictures and wallpaper in compressed formats, such as StuffIt (SIT). To open these files, your computer must have a decompression utility installed, such as StuffIt Expander. Most Macintosh computers come with StuffIt Expander installed, so after downloading a compressed file, it will usually be decompressed automatically, leaving a folder with the picture you want inside, and often a message regarding the download (you can then throw away the original .sit file recent versions of Safari will automatically throw the original .sit file in the trash for you). On a PC, if the file doesn't decompress automatically, and double-clicking the downloaded file doesn't work either, you'll probably need to download StuffIt Expander. After decompressing, the picture can be displayed as usual; if you're on a PC, you should also be able to drag the picture into a browser window, then right-click and choose Set as Wallpaper (or Background).
If computer code appears in your browser window when you click on a link to a compressed archive, such as a .sit or .zip file (or other types of files, such as .mpg, .mov or .wmv, for that matter), then go back and right-click (PC) or control-click (Mac) on the link instead, and from the pop-up menu that appears, choose Save Target As..., Save Link As..., Download Link to Disk, or something to that effect. When the file has downloaded, double-click it (if necessary) to decompress it.