You can download themes in the downloads area of the site. Most themes are made for MAME. When you download a theme it will be a zip file. Simply place your theme zip file into the themes folder for that system. If you download a MAME theme then the theme will be placed in:
If the theme is a Main Menu theme then you would place the theme in:
An alternative type of theme you might download is what's called a Default Theme. These are different than regular themes. Default themes are themes that every game in a menu will share, but if a game has a specific theme for that game then it will override the default theme that you have installed. So it's usually good to have a default theme installed. Default themes are only used for Sub Menu's.
If you download a default theme for a system then you would also place that theme in the same theme folder. The only difference is that a default theme is named Default.zip.