That is normal, best is to use IrfanView, open the wallpaper you like to, press CTRL+S and thewallpaper is set. not all Themes has walls, so first take a look in the misc or the $themedir$wallpaper folder and check if there IS any ;) mostly, if the walls were not includet to the theme, the themer write down in the includet readme.txt where they got them from.

I only know a hand full of themes which change automaticly the walls, so don't mind if a theme doen't support that ;)