Those are the three folders created by the original firmware, no?
Doesn't sound like you have Rockbox installed on it at all, if there's no .rockbox folder. Unless you just can't see it in windows becuase it starts with a 'dot' and you have windows set to not show system or hidden folders.
Install themes by just copying the .rockbox folder in them to the player, so it merges with the folder that ought to already be on there, assuming you actually do have rockbox installed.