LiteStep doesn't change anything but the desktop interface. LiteStep will _not_ skin any windows on its own, and I'm not aware of any modules which skin windows as well. You need something like WindowBlinds or StyleXP or another program of the like. On their own, they tend to be resource hogs, but they cooperate with LS just as well as Exploder.

As for wallpapers, ... If the theme doesn't come with a wallpaper, check the readmes for info on where/how to grab 'em. If _that_ doesn't help, well, you're SOL. (If you have a good collection or access to one, it won't be so bad. Just change papers with the control panel like you did with Exploder. :)