Samsung Rogue U960

I have the Samsung Rogue. I would like different wallpapers for my screen. I found a site using my browser and decided to get new wallpapers. They are free. It said to type in the wap address to save the photo. I did this. It brought me to the wap site where it was just a picture. But how do I get it onto my phone into my pictures so I can actually use it for wallpaper? Please help I dont understand.