In the case of the iPhone, a theme consists largely of the way the SpringBoard (desktop), dock and all the program icons look.
A theme usually change all the default applications icons, the background/wallpaper,
the dock and some other elements of iPhone Graphic User Interace.
You can change the iPhone's appearance with a theme and the support of 2 utilities.
You will need 'Cydia' (it is included in jailbroken iPhones by default) to download 'WinterBoard' and the PC utility 'iFunBox'.
Connect the iPhone to your PC with the USB cable.
Download to your PC the freeware utility iFunBox from here: iFunBox
Run iFunBox (no installation is needed)
Drag & drop the Theme (folder) to "Raw File System/Library/Themes" see this picture to understand better.
Launch *Winterboard and apply the new theme... done!
*Your iPhone should be Jailbroken, use Cydia to find and install the excellent freeware utility Winterboard.