Firstly if this is like a custom visual style (ie not microsoft) and downloaded from theme sites such as deviantart and stylexp then you're right you cannot just add it into your desktop appearance settings.
Uxtheme.dll is the file in Windows XP that controls the theming engine. By default, uxtheme.dll is locked, so third party (i.e. non-Microsoft) visual styles cannot be used. Fortunately, it is easy to unlock uxtheme.dll to allow the use of non-Microsoft visual styles.
To get around this i suggest you download the unlocked uxtheme.dll. Here is a version for sp2 2180 English:
Make sure you reboot your pc after patching them once restarted do the same as you did before and it should work.
There are other programs for doing this such as stylexp, and windowsblinds but for me this works fine and seemed to use up less resources on my pc than those programs did.
I hope this helps and if you need any more assistance post a reply