Or:
(and whether this is simpler depends on how you feel about the Terminal)
1. Open Terminal, and type the following commands:
2. cd [/Volumes/name of your iPod]
3. unzip [~/Desktop/Aurora_Black.zip]
Adjust the text inside the square brackets to the actual locations of your player, and the theme file.
You can drag and drop files and folders into a MacOS Terminal window, so you shouldn't need to type the pathnames.