What phone are you using? On Samsung you just open the picture in the native Gallery app, tap the three dots menu in the corner and choose Set Wallpaper.
If you're not using Samsung then I would expect that brands picture browser to have a similar feature.
For a while when you installed Windows, the first time user setup gave you a choice of popular browsers and it handled the download and install.
Now Microsoft is actively trying to sabotage other browsers with popups and office apps bypassing the default browser setting.