There are 2 location were you can store the themes on your phone, either on phone memory or in memory card.
If the theme application comes from the computer, you need to transfer it on your memory card by using a multi media card reader, you can make a folder were you can place the themes or just put in on the root directory of the memory card,now from your phone, locate the file manager by going to your phone settings. just run it and follow some instruction,then after the process is done, go to theme settings and run the theme application you download.
If the theme application directly download on your phone via bluetooth or GPRS, just locate the phone memory on the file manager and do the same way.
You can download themes from this free site :
KP500 THEMESHoping this method helps you.Good Day..