I don't seem to be able to find the button to download the wallpapers.. can someone help me please!

Right click > Save as..

Then transfer it to the PSP.

I'm having trouble saving wallpaper to my PSP.  I know you said to right click---save as---an then transfer to PSP.  but could you please more detailed w/ step by step instructions.  After you save as how would you transfer it to the PSP?

I try to keep this guide on every page of the site. Its the most detailed explanation of putting wallpapers on your psp.
http://www.pspsonywallpaper.com/psp-wallpaper-install-guide/