How do I install an icon theme?
 

I downloaded an icon theme tar ball. It said to "extract here" and then to run a script. I did all that. Now what do I need to activate the icon theme? Please help.

Where did you get the theme from? What was the reason for running a script? If the purpose of the script was to install the theme:

Right click the desktop, choose Change Desktop Background. When the Appearance Preferences window appears, select the Theme tab. Click the Customise button, then select the Icons tab. You should see the icon theme you want listed in there.

Providing a link to the exact theme you downloaded would be a big help.

In any case, to enable an icon them for just your user, extract the icon theme to: ~/.icons. To enable the theme for all users extract it to: /usr/share/icons/.
For desktop themes, to enable the theme for just your user extract it to: ~/.themes. To enable the theme for all users extract it to: /usr/share/themes.
These instructions could vary depending on the specific theme you downloaded. This is why you need to provide us with a link to your exact theme.
You can get lots of Ubuntu themes here:
http://gnome-look.org/
http://ubuntu-art.org/