Ultimately the themes go into C:\Users\Public\Public Documents\Winstep\Themes.
How you get them there depends on what you've downloaded. If it's a file with the appendage .xtreme, all you need to do is double-click on the file. If it's a zip file with a .xtreme file in it, just extract that file anywhere you like and double-click on it. If it's a zip file with the theme folder in it, e.g. [ThemeName]Folder\LotsOfFiles, you would extract that entire folder into the C:\Users...\Themes above.
