well to download a theme, you need to find a thread here that has a theme in it and either download the attachement or download the theme from a rapidshare link.
next, you need to tranfer the file to your phone using activesync or windows mobile device centre
lastly you find the file on your phone using file explorer, double-tap and then a screen will pop-up where you apply the theme, just press okay
if any of this doesnt make sense then i suggest you read the
noob guide