To set as desktop: In iPhoto, highlight the photo you want as your desktop. Next, go to the "Share" menu in the tool bar and select "Set Desktop". Boom.
To quickly go through photos in an event: double click the event to open it. Adjust the photo size with the "Zoom" slider down in the lower left of the screen. Look at photos.
Conversely, once you have the event open, double click a photo to enlarge it. Use the left and right arrow keys to scroll through all the photos in an event.
If you don't want to import the photos into iPhoto to view them, just select the photo in Finder and push the space bar.