Right-click this link and choose "Save target as..." and store it in your Downloads folder.
- Lock screen
- Select from drop-down: Picture
- Click Browse (select the lockscreen.jpg file you just saved to your Downloads folder
- Toggle off "Get fun facts, tips, and more from Windows and Cortana on your lock screen"
- Toggle on "Show lock screen background picture on the sign-in screen"
- Close the settings window and you're all set
Want it as your background too? Click the link at the top, right-click on that page, and choose "Set as background."