If you don't want to use the theme manager, there are websites like http://www.vista-skins.com/ that offer free downloads of windows XP and Vista themes without installing software. Theme Manager is probably one of the most common tools to help you change themes, but some users have experienced technical issues with the software and aren't able to revert back to their original settings.
When you save it as... with right click on the Download link, you get on your computer a file: MetamorphosisSuite.suite.
This .suite files are opening with the Theme Manager, a part of Object Desktop by [link]
When you have installed the Theme Manager in your computer, then with one click at the above download link, open's automaticly the TM and you can apply the theme to your computer. That's all