Dan, Wallpapers are made with the use of numerous softwares. The most commons are; PhotoShop, PaitShop, Bryce and 3D Max.
You can adquire any of this programs thru the internet by visiting their websites [adobe.com, corel.com, discreet.com]
Practice is always the best way to learn, but there are many tutorial sites that can help you too.
Visit other threads in this messege board for similar topics on tutorails.
Good luck in your proyects.