OK, for me it downloaded as a zip file so you'll have to extract it into the "C:\Program Files\SysMetrix\Themes" directory.
It should create a new folder called "Future X Blue" with all the parts of the skin in it.
Then start Sysmetrix and right click on the skin that comes up, choose "Sysmetrix Configuration" and scroll down to Future X Blue. When you click on it it doesn't show a preview but if you click the load button it does load. Then click "Save Theme" and it will save it with the new preview.