Go to your pictures library, and make a new folder in your my pictures folder location,
Make a copy of the picture you want to use or drag and drop the picture you want to use in this new folder.
Right click your desktop and select personalize,
Click on the screen saver link on the bottom right,
Click on the settings listing, then click on the browse listing,
Click on the libraries listing, then my pictures, then click on the new folder you made with the file.