Hi,
If you are currently using Windows Spotlight, go to Settings > Personalization > Background > Personalize your background, select "Picture," and keep the photo you want.
This assumes you do not have Bing Wallpaper installed, as noted by Q&A Assist.
Alternatively,
You can use Lively Wallpaper to set and keep a specific wallpaper.
https://apps.microsoft.com/detail/9ntm2qc6qws7?hl=en-US&gl=US
Please consider rating the question (accepting the answer or not) and visiting the Microsoft Q&A community if you have further questions.
Thanks.