After downloading a theme, extract it to: "C:\Windows\Resources\Themes."
But before you can use the theme, you need to patch your uxtheme.dll files.
I recommend that you use an app called Vista Glazz.
If you are running Vista SP1 [Service Pack 1] download Vista Glazz Beta 3.
If you are NOT running SP1 download the regular version of Vista Glazz.
Or if you want to do it all manually, which really isn`t that hard, you can check out my gallery @ deviantART.
Downtheory @ dA I made a tutorial a few months back that should still be relevant. Sorry to just leave you a link, instead of a direct one. I have to go to a friend`s house in a minute...
If you need any more help feel free to contact me at deviantART, that`s where I spend most of my time.