need help this my first time

You need to post a link to what you are trying to download. If you look near the top of the page you are on when you are downloading an item you will see a section called "Gallery Description". There you will find a link to the software needed to apply what you are trying to download.

Theme manager is basically for applying at once, components of themes using the different softwares needed for each component. It will not apply a Window Blind skin unless you have WindowBlinds the program installed. Same for cursors, icons, etc.

Theme manager will also ask if you want the skin/program downloaded/installed if you don't already have it.