It's very easy. All you have to do is to select every image with your right click mouse and to save picture as the type
of file name and where you want in your computer!! For example: Save picture as.. My Documents\ My Pictures\ Name of the file.
Then if you want to add it to your Messenger Display Pictures or Backgrounds, go to your MSN Messenger, and in the contacts
page, click Tools\Change Display Picture or My Backgrounds or Emoticons, and Browse to the Picture you like and click Add