Are you talking about when you start up your Interent Browser or your computer? I would imagine that you would want to use it as your background on your desktop. That would be the easy thing to do.
You will have to convert it to a Bitmap in order to do this. Depending on what program you are using when you open the picture click FILE and SAVE AS then change FILE TYPE to BMP or Bitmap. Move the file to your Windows directory, and right click on your desktop and change your background to the picture from PROPERTIES.