When I save photos to my New MacBook Pro it saves as unknown

I am trying to save a picture from google images and when I do so the picture for some reason saves as unknown. I am fairly new to the OS for mac's because I am coming from a windows computer. the whole idea is I am trying to save a picture to my macbook in order to change it to my wall paper. I did it the first time and it worked fine for a while then I recently logged into my macbook and the picture was gone. I think it is because I deleted the download of the picture off of my macbook. when I tried to redownload/ save a new picture and use it as a wallpaper it opens a small window with a preview can someone help me with this.....

PS. please dumb it down for a first time apple user thank you