Thinking more...

#!/usr/bin/env python
import random
import os.path
import subprocess
import urllib2
import xml.dom.minidom
from xml.dom.minidom import Node

def get_xml():
        response = urllib2.urlopen('http://feeds.feedburner.com/bingimages')
        xml = response.read()
        return xml

def parse_and_get_first_image_uri( xml_str ):
        if xml_str=="":
                return ""
        doc=xml.dom.minidom.parseString( xml_str )

        urls=[]
        for node in doc.getElementsByTagName("enclosure"):
                urls.append( node.getAttribute("url") )
        index=random.randint( 0, len(urls)-1 )
        if len(urls)>0:
                return urls[ index ]
        else:
                return ""

def get_uri( uri, output ):
        response = urllib2.urlopen( uri )
        image_file=open( output, 'w' )
        image_file.write( response.read() )
        image_file.close()
        return

def set_wallpaper( filename ):
        args=[]
        args.append( 'gconftool-2' )
        args.append( '/desktop/gnome/background/picture_filename' )
        args.append( '--set' )
        args.append( filename )
        args.append( '--type=string' )
        subprocess.call( args )

uri=parse_and_get_first_image_uri( get_xml() )
tmp_dir = os.path.join( *(os.path.expanduser("~"), "tmp") )
if uri!="":
        if not os.path.exists( tmp_dir ):
                os.mkdir( tmp_dir )
        filename, extname = os.path.splitext( os.path.basename( uri ) )
        image_filename=os.path.join( *( tmp_dir, "bing" + extname ) )
        get_uri( uri, image_filename )
        set_wallpaper( image_filename )
else:
        print "get nothing."