To Download, right mouse click on the links and click Save Target/Save Link as and choose where on your computer to save the file. Once downloaded, you can transfer the files over onto your BlackBerry's media card via usb from there. Want videos on your BlackBerry but don't know where to start? Read this BlackBerry 101 Lecture! And for more videos check out Videos4BlackBerry.
The next issue is themes. Themes aren't part of "media" when it comes to the BlackBerrys, its more of an application sort of thing (you do have to install them). James handles that part every Friday with his application round up.
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