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Got it. I saved the jpg to my home directory. I had to log out and back in as root in order to copy it to the default wallpaper directory. Then I logged out of root and back in as me, and then selected the new wallpaper.
bjf123, you don't have to login as root to do that.
You can pick up wallpaper from any folder, not just "Wallpaper" one.
Save your images to any folder for e.g in your "Home" directory.
Right click on desktop and go the same route as before, but this time click on "Browse" button and navigate to your folder.
It will work 100%, trust me