You should probably read the documentation at the fluxbox
site for complete details, but basically you put the theme stuff in the .fluxbox/styles directory (and any backgrounds in the .fluxbox/backgrounds directory) and then they become available via the Fluxbox-menu->Styles.
BTW, if you want to edit that right click menu, it is done through the .fluxbox/menu file. Its a simple text file that is easy to figure out.
Also, native fluxbox doesn't support icons on the desktop, but if you add fluxspace
, you should be able to.