When downloading via HTTP (via your browser), right click the link and "Save As". Save the file to one of the following folders:

On Windows:
C:\Documents and Settings\*yourusername*\Application Data\FrostWire\themes

Please Note: The "Application Data" Directory is, by default, hidden. You can unhide it in Windows Explorer by going to: Tools > Folder Options > "View" Tab > And select the radio button: "Show hidden files and folders"