Live wallpapers are not apps, they can't be opened it in a traditional sense. That is why the market button is disabled and that is why there is no app icon after the installation of a live wallpaper.
Follow this procedure to set a live wallpaper:

  • go to your home screen
  • press the menu button on your device
  • select "Wallpaper"
  • select "Live Wallpapers" *
  • search and select your wanted live wallpaper
  • select "Settings" to see the live wallpaper's settings. Some live wallpapers might require you to set something before you can start using them
  • select "Set wallpaper" to activate the live wallpaper

(* if you don't see "Live Wallpapers" option in the "Select wallpaper from" menu then your device probably doesn't support Live Wallpapers) 


If you want to disable the live wallpaper at a later time, just go into the wallpaper menu again and set a static image wallpaper instead of a live wallpaper.