What do you mean precisely by the photo galleries?
If you mean the flash on the main page it gets a bit tricky. If there is an actual photo gallery page that isn't flash enabled I could probably help you get what you want done...
Edit : They do have the
wallpaper pageAnd they have the
photo galleryIf you mean the photo gallery, click on the game you want, this brings up a pop-up window. Then find the picture you want to have as a background, right click, select something along the lines of save image as, and it should save that photo to where-ever you choose to save it. Then set that as your background.
As a suggestion, you can download
webshots for free which then cycles through backgrounds you select from pictures on your computer.
Edit 2 : Okay so they mucked with things so you can't quite do that... which is just annoying to a geek like me so I found where you can find the photos.
If you are using firefox, when you bring up the popup press <ctrl><u> which will show the page source.
In there you will see a list of the photo files (eg /uploads/photo/FF5C14C868CB466DBB3A19DFFE281FC3.jpg)
Only thing is they aren't quite where you expect... If you take the file name and append it to the following you will see only the photo in your browser
http://www.mnswarm.com/uploads/photo/Then you can do what I originally said. It's a pain but it will work.