If by style you mean normal smf theme those can't be installed.

You can only customize the colors of the default theme. Other themes won't work.
Pick a color only for default theme. Color codes are standard html color codes.

SMF For Free

I'm using the SMF Default Theme, and I'm getting the same behaviour.  I created a style, and it shows up in the Style Picker dropdown, but when I click "Pick Style", all I get is the regular background/font colors, even though I changed them in the style definition.

If I "Modify" the style, the custom colors I chose show up in the CSS, but they're not being applied to the theme, even though I'm using the "SMF Default Theme".

I've done all that.  It's not changing the colors.

My theme is set to "SMF Default Theme".

I go into "Manage Styles".  I choose "Create Style".  I enter the name "New Green" for the style name. I enter #66CC66 for "Background Color", #003300 for "Font Color", #002200 for "Link Color".  I click on "Create Style".  I get taken back to the main "Manage Styles" page.

I choose the "newgreen" style that it just (supposedly) created, that shows up in the dropdown box, and click "Pick Style".  I get taken back to the man "Manage Styles" page, with no change whatsoever in the background, font, and link colors.

If I now choose "Modify Style", and choose the "newgreen" style that I just created, the background, font and link show up in the CSS code, they're just not being applied.

Here's the CSS, directly out of the "Modify Styles" page.

/* Normal, standard links. */
a:link
{
   color: #002200;
   text-decoration: underline;
}
a:visited, a:hover
{
   color: #323232;
   text-decoration: underline;
}

/* Navigation links - for the link tree. */
.nav, .nav:link, .nav:visited
{
   color: #000000;
   text-decoration: none;
}
a.nav:hover
{
   font-weight: bold;
   color: #cc3333;
   text-decoration: underline;
}

/* Tables should show empty cells. */
table
{
   empty-cells: show;
}

/* By default (td, body..) use Tahoma in black. */
body, td
{
   color: #003300;
   font-size: small;
   font-family: Tahoma, arial, helvetica, serif;
}

/* The main body of the entire forum. */
body
{
   background-color: #66CC66
   margin: 0px;
   padding: 0px;
   background-image: url();
}

/* Input boxes - just a bit smaller than normal so they align well. */
input, textarea, button
{
   font-size: 9pt;
   color: #000000;
   font-family: Tahoma, arial, helvetica, serif;
}

/* All input elements that are checkboxes or radio buttons. */
input.check
{
}

/* Selects are a bit smaller, because it makes them look even better . */
select
{
   font-size: 8pt;
   font-weight: normal;
   color: #000000;
   font-family: Tahoma, arial, helvetica, serif;
}

/* Standard horizontal rule.. (

---

, etc.) */
hr, .hrcolor
{
   height: 1px;
   border: 0;
   color: #666666;
   background-color: #666666;
}

/* A quote, perhaps from another post. */
.quote
{
   color: #000000;
   background-color: #C3B8D0;
   border: 1px solid #000000;
   margin: 1px;
   padding: 1px;
   font-size: x-small;
}

/* A code block - maybe even PHP . */
.code
{
   color: #000000;
   background-color: #cccccc;
   border: 1px solid #000000;
   padding: 1px;
   font-family: "courier new", helvetica, "times new roman", serif;
   font-size: x-small;
   width: 99%;
   margin: 1px auto 1px auto;
   white-space: nowrap;
   overflow: auto;
}

/* The "Quote:" and "Code:" header parts... */
.quoteheader, .codeheader
{
   color: #000000;
   text-decoration: none;
   font-style: normal;
   font-weight: bold;
   font-size: x-small;
}

/* Generally, those [?] icons.  This makes your cursor a help icon. */
.help
{
   cursor: help;
}

/* /me uses this a lot. (emote, try typing /me in a post.) */
.meaction
{
   color: red;
}

/* The main post box - this makes it as wide as possible. */
.editor
{
   width: 96%;
}

/* Highlighted text - such as search results . */
.highlight
{
   background-color: yellow;
   font-weight: bold;
   color: black;
}

/* Alternating backgrounds for posts, and several other sections of the forum. */
.windowbg
{
   color: #000000;
   background-color: #E1E1E1;
}
.windowbg2
{
   color: #000000;
   background-color: #F0F0F0;
}

/* All the signatures used in the forum.  If your forum users use Mozilla, Opera, or Safari, you might add max-height here . */
.signature
{
}

/* These are used primarily for titles, but also for headers (the row that says what everything in the table is.) */
.titlebg, tr.titlebg td, .titlebg a:link, .titlebg a:visited
{
   color: white;
   font-style: normal;
   background-color: #6B8EAE;
}
.titlebg a:hover
{
   color: #dfdfdf;
}

/* This is used for categories, page indexes, and several other areas in the forum. */
.catbg
{
   background-image: url(images/catbg.jpg);
}

/* This is used for a category that has new posts in it... to make it light up. */
.catbg2
{
   background-image: url(images/catbg2.jpg);
}

.catbg, .catbg2
{
   font-weight: bold;
   background-color: silver;
   color: #000000;
}

/* This is used for tables that have a grid/border background color (such as the topic listing.) */
.bordercolor
{
   background-color: #828181;
}

/* This is used on tables that should just have a border around them. */
.tborder
{
   border: 1px solid #828181;
   background-color: #FFFFFF;
   padding: 2px;
}

/* Default font sizes: small (8pt), normal (10pt), and large (14pt). */
.smalltext
{
   font-size: x-small;
   font-family: Tahoma, arial, helvetica, serif;
}
.normaltext
{
   font-size: small;
}
.largetext
{
   font-size: large;
}

/* This is the white header area where the title, menu bars, and header boxes are. */
#headerarea
{
   background-color: white;
   border-bottom: 1px solid gray;
}
/* This is the main area of the forum, the part that's gray. */
#bodyarea
{
   background-color: #D4D4D4;
}
/* And this is the bottom, where the copyright is, etc. */
#footerarea
{
   color: black;
   background-color: white;
   border-top: 1px solid gray;
}

/* This is for the special header boxes on the top (user info, key stats, news box.) */
.headertitles
{
   background-color: #6B8EAE;
   border: 1px solid #6B8EAE;
}
.headerbodies
{
   border: 1px solid #7A7777;
   background-color: #EFEFEF;
   background-repeat: repeat-x;
   background-position: bottom;
}[/pre]

OK, figured it out.  I have to force reload (Shift+reload icon) or my browser doesn't refresh the CSS, even though it's changed.

More customizable...simply