You should already have a uxtheme.dll file belonging to XP. It is that you replace with the patched version you download. So, rename the one you already have to something like uxtheme-old.dll and then paste in the new one.
I've seen/used several flavours of that patch, available for XP vanilla, SP1, and SP2. Be sure you have the correct one. Although I have used a multi-patch version, but that was a tad flakey, and needed doing again after each time I ever needed to run the sfc /scannow command.
Further compounding it is that some have had the problem of only being able to apply the switch in safe mode, as XP was reluctant to release the original file.
If the one you've downloaded is getting flagged as corrupt just grab another one. You can keep replacing it as many times as necessary without ill effects. It won't kick in 'till you've rebooted though. The new theme you've added should then work.