It varies by the theme. Usually you just extract the theme and its folders/files to C:\Windows\Resources\Themes. Then, you go to Peronalize>Theme and choose the theme you want. BUT, they are all labeled Windows Vista Aero (or Home Basic). SO, you just click on one and it should give you a little preview of what it may look like.
If the new theme just shows the windows classic/basic interface, then you have to patch your UXtheme files: http://www.winprj.net/board/viewtopic.php?f=7&t=274