OK, it looks as if you need msvcp80.dll and/or msvcr80.dll in order to use stuff compiled with MS Visual C++ 2005 (Express edition, the free one). I thought this only applied to executables, but perhaps the DLL's have the same issue. There is an installation package from MS available here.

I don't know why more people haven't reported problems though, unless those DLL's are also part of another package (e.g., .NET 2.0 or something) that most people already have. Or maybe it's just that nobody else has tried installing the Penumbra theme yet. ;)