It depends on the type of theme file you downloaded. Some people package them up into a CAB or HME file. In this case, you just copy these to any folder on your Smartphone. Then open file manager on your Smartphone, browse to the files and run them.
If all you downloaded was a XML file, them copy if directly to your \application data\home folder.
If you downloaded a zip file, unpack this on your computer and see what type of file is inside. Take action as listed above.
Try that and let us know. 8)