Well, there are Themes, and there are Visual Styles. Visual Styles you need Style XP for and the other is just an exe file that pushes stuff to the correct folders, then you pick the theme just like you would normally under the display properties section. Style XP is a free download, and so far it hasn't asked me to register it, but I haven't been running XP for more than 30 days. Who knows.
I am running Forever Blue, its one of the top ten. Kinda nice. If you use Style XP you don't have to unzip the stuff. Just leave it, fire up style XP, chose visual styles and then add style on the right side of the window. Browse to your zip file and then accept. If its a Theme it will tell you it can't find an acceptable msstyle or something. If thats the case, unzip it and run the exe.