There are more than one way to do thing on a WM device which is more than can be said of other mobiles, I'm just going to mention one way and keep this short and sweet.
File Explorer is a much underused yet really useful tool on your device and can get things done easier that certain other file management systems. You have a .zip or a .rar file you want to open but don't know how. I find that this is usually easier to do on my device than mucking around with a PC syncing it etc. Just do the following and it's as easy as 1 2 3....
Download the RAR and using Window Explorer put it on your device by dragging and dropping (cut&paste), then on your phone open the file in file explorer and PocketRAR should open up showing the spiders.tsk file then press and hold and choose extract from the drop down menu and choose your destination. When you go into your Today Settings you should now see spiders in your list of themes. Ensure to uncheck the box below if you've got a bespoke pic as your today background.
You will of course need Zip or Pocket RAR on you device, you can get pocket RAR from here:
http://freewareppc.com/utilities/pocketrar.shtml
Which unfortunately you will have to sync you phone for. You can use Wooley's guide here:
http://www.xdasite.com/showthread.php?t=1187
Have fun...