Ummm, because it's a LiteStep theme, not a Windows MSStyles theme? The theme was downloaded to wherever it is that your browser downloads stuff. Only you know where that it, so we really can't help you. =)

Once you've determined the location, you can come back with a more specific question and we'll try to help you - unless DeViLbOi gets to you first. =P If that happens, well, MGHMOYSBHSTFW.