What OS are you running? You'll need to install the theme manager (or something like that) off of your CD. It adds itself into your control panel, and you can manage your themes through there. If you don't have it installed yet, you won't be able to install the theme properly.
I hope you're running Win98 - I'm not even sure if there is a theme manager thing in Win2K.
^^^BUMP for someone else running Win98 to comment on this.