The ability to download a photo depends on the rights given by the original photographer. To see the rights and download options, visit the source of the background.
Visiting the original source of a background
To visit the original source of the background photo, hover your mouse cursor over the location at the bottom left corner of the dashboard and then click the photographer's name that appears.
Once viewing the original source of the image, you can often find a download button or more information about how you can download it. When in doubt, try contacting the photographer and ask them how you can download their image(s).