Windows doesn't install desktop themes by default. Windows 98 users can install themes from the Control Panel's Add/Remove Programs applet. The "official" way for Windows 95 users to add themes is to buy Microsoft Plus 95 - no easy feat, since the program is no longer sold. After you install Desktop Architect, you'll be able use, save, and distribute themes.
To save your current settings as a theme, launch Desktop Architect and select File-Save. Select a location and give the file a name. Now you've got a theme, but unless its wallpaper, sounds, fonts, and other files all come with Windows, simply transferring your theme file to another computer won't work; you have to transfer all the other files it uses, as well.
That's where Desktop Architect beats Windows 98's own Themes tool. To bring all the files together, select Tools-Package. A wizard will walk you through the creation of either a .zip or an .exe file for putting the individual files your theme requires in the right place. I recommend creating an .exe file for easy distribution.
The target computer will have to support Desktop Themes, whether via Windows 98, Plus 95, or Desktop Architect.
To add your own theme, run the .exe file you created in Desktop Architect, then right-click your desktop, select Properties, click the Themes tab, and select your theme from the pull-down menu.
One final note: switching back and forth between themes is easiest if you have put them all in the same folder. By default, that folder should be C:\Program Files\Plus\Themes.