Rockbox Utility is supposed to copy .rockbox for you, but for whatever reason, it's not working.
Copying it manually then rebooting should make everything work again, once it turns on you should see Rockbox.
From there, everything should work and you can use it to play music.
However, if you want themes, you can use Rockbox Utility to install them, just untick everything except for "Themes" and "Fonts"