If the image can be seen it can be copied.
Just go in the internet system cache and copy the image in another directory. If it doesn't work (it can be done with an internet plugin), try to press ctrl+stamp, open microsoft paint and paste the clipboard in the paint window.

I don't see any of my images on that site (i'm not so skilled in art). But i understand your hungry about the theft.
For me the problem is not about personal copy. Anyone should understand that anything that is digitalazed can be copied. Let's see what happen with p2p: Terabyte of music and movies are in the p2p net. I thinkin the next years this will be accepted also by entertainment industry. It simply can't be stopped. Copyright is a non sense in internet era.
The problem is when someone is making money with your work. This is something i would not accept (and it is the case of that site.... if you want the wallpaper you have to pay). But the problem is not about the copy, is about the use of that copy.

I show my art on my website, on very high resolution (not the original one, but very high). I release my image under one of the Creative Commons license. I allow personal use (not commercial one), i don't want that you modify my work, i want that if you distribuite my work it has to be redistribuite under the same terms, and i want you say that it is my work.

This means that you can copy my image and print it, but you cannot sell the print. Of course you cannot sell my wallpaper, or even give it for free without saying it is my work.

If you want to learn more aboute creative commons license:
http://creativecommons.org/