Position your mouse over the photo, click on it with the right mouse button, then choose "Save Picture As." or "Save Target As". (CTL+click for Mac users)
Be sure to select a location on your computer that you will remember, then select OK.
You may also download most photosets in a complete zip file. To download the zip file, click the zip fle link and select the location wish to save the file. Then use WinZip to unzip the photos for viewing on your Computer. To view the photos on your Computer try IrfanView, it's free!