There are somethings with Theme Manager that you need to walk through slowly.
First, make sure you open the Settings Tab in Theme Manager and the box under General Setting in checked.
When you select apply the skin make sure in the next window that comes up that the boxes are marked for the skins you want to download and apply.
Don't try to download something that is for XP on a Vista system. Make sure that you have the approprite programs loaded to be able to apply the skins, ie you need DesktopX loaded to apply DX Widgets etc.
Most newer WBs have substyles for XP and Vista. If it looks like the WB didn't apply corretly open WB configuration and see if there is a substyle.
There are some bugs in Theme Manager that will/are being worked on and it will get updated.
I seem to be it right now for uploading Suites for Theme Manager so post a thread in the WC Forums and I will try to help as much as I can.