If you have not downloaded and installed the BlackBerry Handheld software to your machine, then I'd suggest doing this prior to doing any of the steps listed below. The O2 theme is listed as "net_rim_theme_125_240x260.cod" in C:\Program Files\Common Files\Research In Motion\Shared\Loader Files\7100i-v126.96.36.199_P188.8.131.52\Java
To load it up, you will need to open the BlackBerry.alx file in C:\Program Files\Common Files\Research In Motion\Shared\Loader Files\7100i-v184.108.40.206_P220.127.116.11 with Notepad and look for the following:
<fileset Colour="True" KeyboardType="Reduced" Java="1.0" _vendorID="111|125">
and change it to:
<fileset Colour="True" KeyboardType="Reduced" Java="1.0">
By doing the above, you are removing the vendor lock on the file for loading (_vendorID="111|125") so that any handheld from any vendor will now load that file. This is the EASIEST and CLEANEST way of loading the available theme files that come WITH the installation.
You can look for the 100 (T-Mobile), 105 (Verizon) and 120 (Vodafone) entries in the BlackBerry.alx file and do the same concept with them, as well - their theme files are included.
Although I made the themes for 4.0 available for download, it was simply for those who do not know how to open things with Notepad or for those who just don't want to be bothered with some manual work; however, I'd never suggest that method of loading themes over the above ALX editing method.