Well first you'll need a program to make it, although Detective_Burn makes hers with Power Point, but you'd have to ask her how to make them with PP because i've never made one using Power Point. But the programs you can use to make wallpapers are. Microsoft Paint, Paint Shop Pro, Coral Draw, Photoshop...and loads more. But there are different ways to make a wallpaper and different styles as well, people like to use different techniques for their wallpapers it just depends, but if you have something in mind let me know and i'll help as best i can. What program have you got.
GIMP is another one but it is mainly found on Linux computers but is also provided on some microsoft ones.
I had Gimp before but i never figured out how to make things with it, i just used it to do effects on my artwork before i got Paint Shop Pro. You can also get Ultimate Paint as well cause that's what i also had before PSP. And Microsoft Photo Editor which should already be on your computer if your using windows/windows xp.