If it's a true "theme", you should be able to run kcontrol, go into the "Theme Manager" (under "LookNFeel"), and click "Add". You'd then select the theme archive and it should automagically install itself. If it's simply a "Style", or a "Window Decoration", then it's a different story. Many such packages have install scripts or some other simple way to install them however.
If you have any further probs, please give more detailed information, such as the package you're trying to install (i.e "Baghira"), the actual filetype (i.e run "file" on the file rather than simply the filename ending convention, ".ktheme"), and so forth.
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