It depends by what you mean by themes, as there are different skinniable apps and their corresponding skins.
I assume you mean themes that change the Windws titlebars, startmenus and so on.
In that case you need the WindowBlinds program http://www.windowblinds.net
Once you have that installed and running, you can download WindowBlinds skins (they end in .WBA)
Double-clicking them automatically installes them.
Got to your Windows Display Properties dialog and press the Appearances tab.Select the skin from the dropdown list and press Apply.
If by themes you mean something like DesktopX (ends in a .dxtheme) extension, than you need the DesktopX program. http://www.desktopx.net
If you downloaded an .xptheme or .suite file, you need WinStyles http://www.winstyles.net