Please open My Documents [or any other folder] > go to Tools > Folder Options> in the View Tab, uncheck "Hide extensions for known file types".
Then check if the themes you downloaded end in ".dockzip" or ".zip"
If they are in the dockzip format, just double click them and they'll install automatically.
If they're in the zipped format, then extract the themes to C:\Program Files\Stardock\ObjectDock\Backgrounds [or wherever you installed ObjectDock Plus] and restart ObjectDock.
Then search for the theme/background you downloaded and installed by right clicking the dock and selecting dock settings, then search for the themes here:
> The "appearance" tab [for the single/zoomer docks]
> The "tabs and styles" tab [for tabbed docks]