You can do that in paint, if you'd like to...personally I prefer programs that give me more"lee way" like Zoner Photo Studio 12..which I found here: FREE Great Programs for Windows 7
If all you'd want is setting a picture as a desktop background: just drag/drop it into Internet explorer or Firefox, right click it and click "Set as background" .
(I just tried it in paint and it worked without a hitch. So I didn't get any save request ??)
Edit: Sorry if the clip was bigger I would have used a thumbnail from the start. No need to use an extra program