ok there are 2 different kind of themes. . .
1. The official Sony PTF theme (it only changes icons and wallpaper)
and
2. the Hackers theme (the one that you have to flash onto your PSP's flash memory(where the Firmware is held))

okay. so for the first one all you need to do is upgrade to either Official sony Firmware 3.71 OR upgrade to Custom FW 3.71m33-2
and just place the theme file (.PTF) in the PSP/THEME folder on the memory stick.

the second on the other hand . REQUIRES a Custom Firmware like 3.52M33, 3.10OE, or even 3.71M33. .

you can find tutorials on alot of things HERE
and you can download different themes and see how they work HERE



Hope I helped you.

-Diego (I like EP)