Are you sure that you're looking in the right place?
For XP C:\Documents and Settings\your username\Application Data\FrostWire\themes.
The Application Data folder's hidden by default, so you'll have to show hidden files & folders first...start > control panel > folder options > check the 'show hidden files & folders' button > apply > ok.
For Vista C:\Users\your username\AppData\Roaming\FrostWire\themes
The App Data folder's hidden by default, so check out the thread below about how to show hidden files & folders & how to find the preferences folder in Vista (the preferences folder is named FrostWire & the themes folder should be within that).
LimeWire Pref Folder in Vista (this link refers to LimeWire but it's the same for FW)