Simply put, what you downloaded is not a BlackBerry theme file and can not be converted into one because it is, as hrddrv pointed out, a thumbnail file.
So marcelcano, the first thing you need to do is delete the files you have and download some real BlackBerry themes for your device. Themes for starters are device/model specific; you can not install a theme created for the Pearl (81xx series) on your Curve (83xx series).
Start by looking here
Media Center - BlackBerryForums.com : Your Number One BlackBerry Community for themes for your Curve (83xx series). There a couple of different ways to install these themes once you find one that you like and you will find all the information you need to guide you through the process here ->
BlackBerry FAQ - BlackBerryFAQ
The BlackBerry Faq site has an enormous wealth of knowledge on everything BlackBerry.
If you still find you need some guidance, just sing out. The knowledge base in the members of this great forum is equally amazing. You'd be hard pressed to find a problem or situation that someone here (or the Faq site) can't resolve.
Good Luck and enjoy!