Making Wallpapers

Depends on what you want to accomplish. There a lot of different apps you could use. Maybe try GIMP (free) or Paint Shop Pro(inexpensive) or Adobe Photoshop(expensive). There are quite a few different 3d apps as well, like Bryce(affordable) Maya, Lightwave, 3dsMax(all expensive) Depending on your wallet And your commitment to learn as well

I have accomplished much with photoshop 6.0 alone
I made the wall in my blue planet dx theme with just photoshop 6.0 by looking for a picture of juipter and studying how it is shaded and how the clouds affect each other then I tried to replicate this with photoshop
I did the stars with the pencil tool
I did the sky with a gradient
I forget how I did the rocks though
here is a link so you can understand what I am talking about
https://www.wincustomize.com/skins.asp?library=31&SkinID=2929

skinning is a very time-consuming and tedious process
Wallpaper-making takes about the same amount of dedication as skinning though
First you have to try and visulaize what you want the wall to look like i.e what colors you want to incorporate in the wall, think of the depth of the picture you want to create, what objects you want to have in there, think of using colors that will allow desktop icons to show up so the wall will be more usable
It might be helpful to do a google search for objects that are similar to the ones you intend to make and observe their makeup and how light affects them, their coloring est.
then you begin