[PocketPcUser]

Ok, here is a really quick run down:
If it is *.cab, you just install Spb Mobile Shell, first;
then, install the cab file, that you downloaded for the theme.

If it is a rar/zip, you just have to extract the file, to a folder. After you extract it, you can either use the ActiveSync Explore Feature, or on your device; do the following:
Copy and paste the entire folder, located in the Program Files Folder, named Spb Mobile Shell. Copy that file, to a safe place, like on your storage card.
Now, you just copy and paste, all of the files in the extracted (RAR Extracted Files) file, inside/to the folder Spb Mobile Shell. If you did this right, you will be asked to overwrite; you choose yes.