Club Penguin has wallpapers (also known as desktop backgrounds) on their website that you can download to set as your desktop wallpaper. To download wallpapers, go here. There are currently 111 wallpapers that you can download such as the Sport Shop, the St. Patrick's Day, the Puffle Party or the famous CPIP wallpaper.
These are desktop wallpapers as seen on the computers inside the Everyday Phoning Facility. They are a basic/non-detailed form of four actual wallpapers that are listed in the above section. They are not downloadable wallpapers from Club Penguin's site, simply images found in-game.