Don't know if I did it right, but I down loaded them to the laptop and then copied them to folder I created in the Pictures folder. They were then available as wallpapers in the main menu.
Many different ways.. You can download many apps for the Market(Zedge, AndroidWallpers, too many to list.) You can download them and save them to your SD card, Crop it, use it. Or you can use any pic on your phone...
I'm assuming you know how to connect to your computer via usb? If not there are instructions all over the place. Or just let me know and I'll tell you what I know.
You can email them to yourself too, there is an option to "set as" wallpaper. You can also browse for them with the phone's web browser. long-press the image on the web and you have an option to snag it. From the gallery you also can set any image as your wallpaper. Remember, the purple/pink square around the image can be dragged to resize the capture area. If cropping/making your own you want them to be 960x854 for the Droid. If you want to center an image have it be about 444 pixels wide and it will fit in your center desktop.