Almost there!
Try this:
1: Close Frontpage if it is open.
2: Right click one of the downloaded .zip files -> explore -> look for a setup file(.exe file) and click it to begin auto-install process for each particular theme you would like to use.
Now, if you do not see a setup/exe/install file when you explore/extract the zip file could you list what in fact you do see? There could be special instructions for the exact theme you are trying to install that are available from the website you downloaded the files from.
*edit to add this* :
Well, hopefully everything worked out but if the contents within those .zip files will not allow you to install them, you can always install them manually. Microsoft will give you better instructions on how to do this then I can so here is a link:
http://support.microsoft.com/default...b;en-us;308130
Hope this helps.