Most of those themes are broken, and still present for mostly historical reasons.
IF you want to download them, and fix them yourself, you need to download the .zip file to anywhere you want, then extract the .zip file to the root of your player (ASSUMING the .zip file is properly constructed.)
http://www.rockbox.org/twiki/bin/view/Main/WpsIpodNano is the current OFFICIAL location of themes for your Nano, and most of them should be working at this time.
The same installation procedure is true for these as well.