1; Download attached zip file
2; Extract contents (I usually put them straight to desk-top, it makes it easier to locate the files.)
3; If you haven't already, download and install a BlackBerry Manager program from your provider Links to the software can be found in the 'RIM Software thread' on the main page
4; Locate the folder labeled 'Java' in c:\program files\common files\research in motion\shared\loaders files
5; Locate these files:
net_rim_theme_105_240x260.cod
net_rim_theme_109_240x260.cod
net_rim_theme_114_240x260_b.cod
net_rim_theme_119_icon_240x260_b.cod
net_rim_theme_120_today_240x260_b.cod
net_rim_theme_125_zen_240x260_b.cod
and move them somewhere.
6; cut the folder labeled 'Loader Files' and paste them somewhere else or simply delete the folder.
7; Start BlackBerry Desk top manager (connect your phone...)
8; Select 'Application Loader'
9; Click 'Add' on the loader screen and select the files you've downloaded in the zip package.
10; Click 'next' and let the PC do it's job.
11; Wait until phone re-boots (could take a bit) and voila, you have new themes!

Works great, thanks a lot Crypto60