Just happened by here, so a couple of simple points.
1) SP2 is the abbreviation for Service Pack 2, in this case, for Windows XP. It has a number of features that focus on protecting your computer during downloads.
2) I would start by right-clicking the .zip file after you download it and select extract to the folder the .zip file is in. This will give you a new folder that is not a .zip file.
3) Look inside the folder, and in the case of a Windowblinds file, you should see a .wba file. Double-click (left button on mouse) and it should automatically install itself into your Windowblinds directory. Then simply run the Windowblinds program and right-click the "Windowblinds" icon in the system tray (lower right corner of screen if your taskbar is located at bottom of screen), and choose "configure windowblinds" from the context menu.
4) Navigate to the newly installed windowblind in the configure dialog, select it and click "apply changes" under the "Windowblinds" heading at left side of dialog.
5) In the case of a DesktopX file, complete #2 above and copy the files inside the folder to your "C:\Program Files\Stardock\Object Desktop\DesktopX" folder. If your local drive is not (C:), replace the C: in the address to whatever letter your local drive is. Make sure it is the local drive that holds your "Program Files" directory.
Use the following guidelines to copy:
A) Files named "DesktopX Package" go into the "objects" folder which is inside the folder listed in #5 above.

Files named "DesktopX widget" go into the "widgets" folder which is inside the folder listed in #5 above.
C) Files named "DesktopX theme" go into the "themes" folder which is inside the folder listed in #5 above.
After installing the files in the proper folder, run the "DesktopX" program and right-click the "DesktopX" icon in the system tray, select "Configure DesktopX" and load your theme, object, or widget from the dialog.
Icon Packager, Theme Manager (.suite files) can be double clicked to install and the program will start automatically and allow you to choose the Package or Theme you would like to load.
Hope this helps.