Installing Themes

Ok, so I'm rather new to this, and this is probably a very elimentary question. But I downloaded a few themes that I liked and tried to load them up onto my computer (tis running winXP). However, the themes won't load up. Now, I'm not using any special program, i'm just unzipping them. I'll double click on the Visual Style file, which will bring up the Appearance tab under the Display Properties.

Do I need a special program to install the Visual Style file, or what do I need to do to get the themes working??

Thanks.