After Companion for Mac was upgraded to version 2.0.1, I received many complaints from users saying that the program downloads wallpapers but does not actually sets them to desktop. Unfortunately, I did not hear back from the software developer about this yet. If you experience this problem too, please delete Vladstudio Companion, then download and install previous version:
http://rack1.vladstudio.com/companion/companion_osx_20b2.zip
It will immediately ask you to update - be sure to click "Skip this version" button.
Or, if you are registered user of Vladstudio, you can create your unique RSS feed and change my wallpapers on your desktop without Vladstudio Companion! Read how to do it:
http://www.vladstudio.com/help/iphoto.php