That icon is just a app called Units...its for converting stuff like celsius to farenheit, liters to gallons, etc...useful
And as for themes...you need to first jailbreak your phone, follow the guide I posted a few pages back.
Then you need to go into Cydia, download and install Winterboard or Customize from your phone.
Winterboard is an app that allows you to apply and manage themes and other effects on your iPhone.
Once you have winterboard installed, go back into Cydia on your iPhone and you can search for themes and mods in Cydia and you download and install themthrough Cydia.
Once they are installed go into Winterboard app on your Springboard (home screen) and select the theme you installed.
You don't visit any websites, you don't use your computer, you don't need to transfer them from your computer, it's all on your iPhone viaJailbreak, Cydia and Winterboard.
BTW for Canadian iPhone users there is a way to get US app store apps...just create a US Apple ID and use that to log into iTunes/iPhone app store.
I've updated my iPhone now with 4 pages of apps, included Pandora, AOL Radio, eBay, Google, Paypal, MySpace which were lacking (at the time I looked) forthe Canadian app store.