Is there any problem downloading with the free wallpapers even if it involves cookies?
There is always a potential risk when downloading files. Cookies aren’t what you need to worry about, its spyware and viruses that are embedded into the download. Your best bet is to go to yahoo.com and click images, type in a search and click the wallpaper size setting, click on a picture, right click and select “set as background” or some variation of that.