Next the program loads the picture into a hidden PictureBox and saves the control's picture in a bitmap file. Finally it uses the SystemParametersInfo API function to set the bitmap file as the system's desktop image.

' Download the image and set the wallpaper.
Private Sub Form_Load()
Const SPI_SETDESKWALLPAPER As Long = 20
Const SPIF_UPDATEINIFILE As Long = 1
Const APOTD_URL As String = _
    "http://antwrp.gsfc.nasa.gov/apod/"
Const START_TOKEN As String = "IMG SRC="""
Const END_TOKEN As String = """"
Dim upd As Long
Dim web_page As String
Dim pos1 As Integer
Dim pos2 As Integer
Dim remote_file As String
Dim local_file As String
Dim img_url As String

    On Error GoTo DownloadError

    ' Get the APOTD Web page.
    web_page = Inet1.OpenURL(APOTD_URL)

    ' Find the IMG tag.
    pos1 = InStr(web_page, START_TOKEN)
    pos1 = pos1 + Len(START_TOKEN)

    ' Find the closing quote.
    pos2 = InStr(pos1, web_page, END_TOKEN)

    ' Get the remote file's full URL and file name.
    img_url = APOTD_URL & Mid$(web_page, pos1, pos2 - pos1)
    pos1 = InStrRev(img_url, "/")
    remote_file = Mid$(img_url, pos1 + 1)

    ' Fetch the image.
    local_file = "C:\Temp\Apotd\" & remote_file
    URLDownloadToFile 0, img_url, local_file, 0, 0

    ' Copy the image into a bitmap.
    picHidden.Picture = LoadPicture(local_file)
    SavePicture picHidden.Picture, "C:\Temp\Apotd\temp.bmp"

    ' Set upd to make the change permanent or not.
    ' upd = SPIF_UPDATEINIFILE
    upd = 0

    SystemParametersInfo SPI_SETDESKWALLPAPER, 0, _
        "C:\Temp\Apotd\temp.bmp", upd
    Unload Me
    Exit Sub

DownloadError:
    MsgBox "Error downloading file." & vbCrLf & vbCrLf & _
        Err.Description
    Unload Me
    Exit Sub
End Sub