The supported types of wallpapers are videos, scenes, web and applications. Scenes allow you to import images and 3D models and add animations to them. The other types of wallpapers are usually created outside of Wallpaper Engine and then just imported and published to Workshop.
Every project you create can be used on your PC without publishing it to Workshop. If it doesn't show up in the wallpaper browser, restart it. You can also use the Apply Wallpaper option to apply it to your first monitor for testing purposes.
Uploading to Steam Workshop
You can publish your wallpaper to share it on Steam Workshop with other users. Please make sure you have understood the rules, they will be shown when you open the editor for the first time and you can access them later in the menu Steam -> Workshop Rules. These rules are set by Valve are mandatory for all Workshops on Steam.