Tricked Out

Hello everyone... I have a sanyo pm8200 and I have found a website- freemobliefun.net- that you can download free wallpapers from but I am having a problem. I can download the picture but the site says to save it to my phone... how do I do that? The picture is on the screen, on my phone, but yet gives me no options to save to my phone. Can someone please help me with this? I would truly appreciate it!