The Windowsmediacab theme is incomplete. There is no Windowsmediacab.cfg file included so it's hard to say what menu backdrop, icons or fonts the author had in mind.
You can create a Windowsmediacab.cfg file in any plain text editor. The line you need is;
backdrop: /.rockbox/backdrops/[backdrop_name].bmp where [backdrop_name] is the file you would like as a backdrop. Also, iconset: /.rockbox/icons/[icons_file].bmp
The backdrop and icons have to be placed in the folders specified in the .cfg file. Ideally /.rockbox/backdrops/ and /.rockbox/icons/.
Windowsmediacab.cfg should be placed in /.rockbox/themes/.