Theme Manager (or Winstyles) does not in itself skin or theme your desktop. Instead, it tells Windows + third party applications what they need to do to apply an .XPTheme or .suite. An .XPTheme is a large zip file renamed which includes all the elements for the theme plus an .ini file which Theme Manager uses to control the other applications required for the theme. A .suite file is essentially an .ini file which contains only the links to the individual elements of the suite.
To get the best experience, you will need to download and install the applications for the elements included in the theme, e.g. Windowblinds, Icon Packager, Cursor XP, WinAmp, etc. Theme Manager gives you control over which elements and applications are actually used. If you don't have the application for a part of the theme, Theme Manager will notify you, and depending on the version you have, will offer to download the application for you.