Microsoft's Snowy Night theme is a collection of 13 background images, packaged as a Windows theme (a .ThemePack file for Windows 7+).
The package includes 13 beautiful snowy photos. Some are simple: a Christmas tree, a lantern in the snow. Others pull back a little, perhaps showing a cottage surrounded by trees. And there are gorgeous city shots of Scotland, Bulgaria and Canada.
Installation is easy, at least in theory. Download the file, open it, and the Windows Personalisation dialog should appear with your new theme. Select it to apply the default background, then change this to whatever you like.
If it doesn't open correctly, right-click the .ThemePack file and select Open With > Personalisation CPL to launch it manually.
And if you're still having problems - or you're using XP or Vista, but want to take a look anyway - just use your archive program to extract the .ThemePack's contents (7-Zip handles this well), and set your preferred wallpaper manually.