Your forum only has ONE theme, but you can install different stylesheets (which is the default theme with modified images, etc).

If you go to Admin CP > Manage Styles you wll see different stylesheets there you can instal by just clicking on them.

If you want to install a different one from what you see there, follow this guide for creating a new stylesheet:
http://www.smfsupport.com/support/guides_and_tutorials/guide_creating_your_own_stylesheet-t3533.0.html;msg17974#msg17974

Here is an index of some stylesheets a few of the members here have made

http://www.smfsupport.com/support/stylesheet_codes_and_help/stylesheet_index_updated_61907-t2680.0.html