where do i put my wallpaper

Like a desktop wallpaper? You could put the image for that wallpaper anywhere on your computer.

However a good idea is to create a folder within the My Pictures folder and call it 'wallpapers'. You can then put all of your wallpaper images in that folder, and you will know where to find them in the future.

Of course, to set that image as the desktop wallpaper, and assuming you are using Windows 7 or 8, you can right-click the image and then select 'set as desktop background'.
 
To put it on your desktop, right click an image you have downloaded and click set as desktop background. It doesn't matter where it's stored as long as it's on your machine. For a phone, it's the same basic concept, varying by phone. On most Android, go to the image, Set as, then set as wallpaper.