To use the downloaded file as your desktop picture:

Put the whole expanded folder (you can throw away the .sit file) in your
"Desktop Pictures" folder which is in the "Appearance" folder, which is
inside the System Folder. (Get to the System Folder by double clicking on
the Hard Drive icon) To select a marble picture, go to the Appearance
Control Panel (get there from the Apple Menu), and click on the Desktop Tab.
Click "Place Picture..."

and a dialog box will come up asking where that picture is. Double click on
the Marble pics folder and select one. If you like how it looks, click "Set desktop."

If you like, when you are in the "Appearance" Control Panel, and you've clicked
on the Desktop tab, you can drag the whole folder of marble pictures on top of
the small window that's shown, and each time you restart, a different marble
picture will be selected at random.
(You can print out this page.)