There are number of methods to use beautiful images from Bing as desktop backgrounds. Some of them I had mentioned earlier in this post - Bing Homepage image Tips .
Bing4Free is another bing.com Image Downloader which makes it very easy to get the Bing images and set them as Wallpaper. But it does more than that with its various options. You can schedule it to download wallpaper from Bing.com daily or even hourly. The application also act as wallpaper changer
Its available at http://bing4free.codeplex.com/
Here are some of the features of Bing4Free Version 1.0 (Beta) -
>> You can download wallpaper from United States, China, Japan, Germany, United Kingdom, Australia, Canada and New Zealand (you can extend it by manually adding new country locale in config file)
>> Supports automatic change of wallpaper (you can schedule or disable it)
>> You can manually change selected wallpaper by right-click on the wallpaper thumbnail
For more details, source code and the app please check http://bing4free.codeplex.com/
Btw Bing is working on an option to set automatically, Bing images as desktop backgrounds.