How to apply skins?

Kind of a dumb question, but can anyone tell me how to apply the different themes and skins that you download?  When I download the moonlight.zip I unzip it then it is a moonlight.desktop, and I have no clue what to do with it.
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This Wincustomize Wiki will help you with what program is required for the different file types. The section for the type of file you mentioned above  .desktop