I just did it with a glitter graphic avatar.

I think I'll keep that one for awhile - I like it.

So you clicked the graphic you wanted correct?
then on the next page down below it says "click here to download"
then a little window pops up and tells you to "save as" or "save image as"
that's where I right clicked and did the save -and saved in in my pictures area.

then went to the User CP page here and avatar section
then used the Browse to locate the saved graphic - size was fine as it was - and clicked to upload it.

I do get this notice every time - Upload of file failed.

But my new avatar always shows - so don't believe that notice if you get it.