[crd22]

A Windows Mobile theme is pretty much the color of the top and bottom bars. It's the color scheme of all message boxes, etc... just like Windows computers. These are .tsk files (mentioned above). Copy them to your phone and to change, just go to Settings>Today. Select your theme there.

If you are talking about a background picture for your Today screen (main screen), its also in Settings>Today. Check "Use Picture as the background" and then select it.