You are wrong, and right
Theme-files have data in them, where the .MSSTYLE file can be found on your HD. For example, i have a Windows Vista (slate black) theme on my computer, and i don't use any external software. But what i use, is StyleXP. That program doesn't slow up your pc, it doesn't work like WindowsBlinds (other engine), but what it does, is switching skins (.theme, .msstyle)
I think you didn't found .theme-skins because u googled for ".theme". You'd google for "download .msstyle skin"
Hope this helps!
~Emile