To Northster,
There's actually no need to download ALL these photos. They are in your collection on this website anyway, they'll stay here forever, hopefully [;-)
Just choose the pics you really want to see as your screensaver's background and download them! Just click on the Girl's image, then once again to enlarge it, now the right click on this image, choose "save as...", then confirm download location - Pictures folder I quess - and "Save!". Done!
But if you want to see ALL these pics you've downloaded as a zip file, you must unzip them first. For this you'll need a special program (WinRar or WinZip) installed. As you see, this zip file is a small one (by size), it's content is compressed and you have now to extract your pictures at first. After that you can use them the usual way.
Edit: one more suggestion, if you want to use only one screensaver (with your background), you must uncheck the other three options there.