Go to your Settings app. Once you get there, scroll down until you see Winterboard (or Dreamboard if that's what type of theme you've installed). Press the Winterboard line, then press the top line titled "Select Themes.". When the next page appears, press tour new theme to put a check mark next to it.
Then, press the Winterboard button at the top left. You should go back one page and then see another button on the top left titled Respring. Press that button, your phone will respring and when it's done reloading, you'll see your new theme.
Marilyn