set the show files setting to all, go to the .rockbox/wps dir scroll down to the blackglass.wps file and press select.
Assuming the .wps file is there, you don't have to mess with the file view setting - just select "Browse .wps files" instead of "Browse Themes". You may have to select a right sized font manually then too (through "Browse Fonts") and this what actually should already be done through the .cfg file. So I would also consider it as a bug in the theme if it's missing.
P.S. Isn't it something that the theme site could take care of?
Edit: I just checked and e.g. the cabrainbow theme really doesn't include a .cfg file and worse - it includes an old font file with the old naming (nimbus-12). And this even though the font I can see in the screenshot is a different one, probably 10-Artwiz-Snap.
Edit2: The theme site now requires a .cfg file in a theme and the two mentioned ones were taken down since they were kind of broken (and the author was notified to reupload them). You can still use them as has been suggested but maybe you'll find a correct theme package there in a few days.