another quick option after exporting as jpeg, is to open pic with windows picture viewer, by right-click on pic icon, "Open With > Windows Picture and Fax viewer" (default pic viewer for windows XP and up) and then right-click on pic, select "Set as Desktop background"
If you have not changed your default image viewer, you don't have to right click on the icon, just open pic, right click on the pic itself, set as desktop background.