Not sure about Adobe,but in Picasa you highlight the image you want,then in the title bar click on create and in the drop down menu it gives you the option to "set as desktop".Hope this may be of some use to you.
Open the background with Photoshop paste the picture onto background and save as jpg remember where you have saved background. When selecting background you may have to go to the folder you have saved it in.
I can open the desktop wallpaper as I have saved that as a jpeg. Then I open the photo and place it ontop. I can not take the boundaries off the top photo or merge it onto the background. If I could, I could take a screen shot an use that but no go.