Please Help....Stupid Newbie Question here

I love the skins and winstyles on this site. Some of you have put some great effort into this art. I registered for everything and have been selecting some skins and winstyles to download. The skins and icons work fine, but I can't seem to figure out where to get the backgrounds I see in the previews??? What am I doing wrong? When I look into my properties/background dialog box, I don't have any other options to choose. Are these backgrounds included with the files or am I missing something?
Thanks