Note: Perhaps this has been added in nautilus, I am using KDE at present, and its version of nautilus may be old (2.30.1).
Suffice it to say, this is an elusive (at best) feature that i really miss from Windows. It had an option when you right-clicked an image file, to 'Set as Background' or similar. In Dolphin and Nautilus, there are no options for 'setting as desktop background'. I know that there is a plugin for nautilus to allow this, but the end user wouldn't know of it. And in KDE, you just about have to use the 'Desktop Activity Settings' module to change your wallpaper. Even Gwenview lacks this option... while M$ Picture and Fax Viewer has it. The current 'desktop settings' apps in gnome and kde have only the option to import images one by one. It would be useful to allow importing an entire folder, that the program would find all the image files from, and show them in the list.
Sorry to rant, I love all the *buntus, it's just a small issue anyhow.