The easiest way to install a 3DS theme is by entering the Anemone 3DS program and scanning the QR code for the theme over at its Theme Plaza page. If that doesn't work, download the zip and place it into your "themes" folder on the root of your SD Card. Theme Plaza offers both the QR code and a direct download.
Needless to say, you must have Custom Firmware on your 3DS for this to work. :P