For a while when you installed Windows, the first time user setup gave you a choice of popular browsers and it handled the download and install.
Now Microsoft is actively trying to sabotage other browsers with popups and office apps bypassing the default browser setting.
What phone are you using? On Samsung you just open the picture in the native Gallery app, tap the three dots menu in the corner and choose Set Wallpaper.
If you're not using Samsung then I would expect that brands picture browser to have a similar feature.
Or the other trick of constantly prompting "Turn on / Maybe Later" until people either accidentally accept or just give up to make nagging stop.
FYI there is also "Island" (white triangles on blue yellow background) on the Google Play Store which does similar if you don't want to bother with FDroid.
I use it for isolating work apps, only oddity is having to install a second instance of my favourite keyboard and browser app, and if I want to attach a photo to say Teams, the file picker will show nothing until you switch it to browse personal files.