Well, there is only one way to load a theme in media center studio, so you have probably done it right. All the menus inside &MC should be replaced with black & silver colors, basically everything blue (but the writing which is still a shade of blue) is now black or silver
As for the icons : the first 3 are shortcuts for my media libraries in Media Browser. You can find them in Media Center Studio, the Start Menu tab, straight down is a tab called Entry Points (look in the screenshot below). You will find the shortcuts for your media collections there.. Ofc, this depends on how you have setup your media collections/ folders in Media Browser.
If you double click on one of them, you will have a screen where you can change the default icons. In the rar archive which you downloaded, aside from the theme there are a couple of icons for movies/tv shows/ documentaries and some plugins.
PS: the screenshot is not representative since it`s from my main PC not my HTPC and hence there is no media browser installed, i`ve put it just to show you where the Entry Points tab is.