I'm assuming you're on vista then yes?
When you download a theme you need to save it to X:/Windows/Resources/Themes ("X" being the name of your windows drive) Once you've done that, right click your desktop and click personalize, the go to colour and appearance then near the bottom click on the classic appearance properties.
Once there the themes you placed in the folder should be there but will still be called Windows Aero/Windows Vista Basic, you just gotta know what the theme looks like as you get a little preview box, click apply and your theme should change

Anyway I did another one for today and here it is!