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You could try clearing the cache by deleting the complete "DesktopX" and any "IconX" cache folders.
For a tutorial on clearing the cache http://corkyo.wincustomize.com/Articles.aspx?SID=5463&AID=82461
After clearing, try double-clicking the theme file to install.
If it still fails, you may have a script blocking service that is blocking and not alerting you to take action.
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