If you double click on the files, can you browse their contents? I've had some broken (0 bytes) downloads which cause those issues.
Second, if the file does indeed open the usual format (inside the compressed folder) is something like:
Code:
NameOfTheTheme
index.theme
gtk-2.0 (for gtk themes)
metacity-1 (for metacity themes)
Sometimes, builders (incorrectly you could say) pack 3 different themes inside a single .tar.gz or tar.bz2 file. You'll have to extract those "themes inside the theme package" and install them manually. This is not usually the case, but it's best to know why it sometime happens.