to both ricekid and striker:
try extracting the zip file with WinRar, from
www.rarlabs.com . perhaps you not finding the files described is because your zip file combined all the folders, with winrar you will see 8 folders and a readme.doc that are clearly labeled step 1, step 2, and so on. At this point, open the readme and follow the instructions, as well as looking to this thread for any problems you have near the beginning, I've answerd many already, even in the first post.
for Treo users, I dont know how well this theme will work, due to the resolution things, but once you have WAD set up, hold the stylus in a blank space, and select settings. there is a check box saying "this is a treo", check it. I'm not sure exactly what it does, as I dont have a treo, but I'm sure it'll be nice for the program to know what you are running.