If there isn't themes.exe...
You can find the themes.exe in Microsoft Office 97 SR1 (the updated "Valupack" if I remember).
So, include it with your software package.
Else, you must save all parameters (the user will be able to uninstall your theme and retrieve his old parameters) and install step by step your theme by writting informations to the registry (where is the wallpaper, screen saver, icons, cursors, sounds...).
Automatically change desktop themes
My post "if there isn't themes.exe..." is a reply to "Automatically change desktop themes".