Did you install the file manager? I had trouble at first, but I was doing it wrong, when you do the install option, you highlight the theme in the file manager and up at the top is a button you hit to set it, and that worked for me at least.
Yep, istalled the file manager Weather Widget wanted. Also have Astro. Now I can't get back to the original look of weather Widget.
Also seems like the themes I downloaded went to a file where Weather Widget doesn't like to go. May have to "mount" the SD Card and do some poking around.
Weird.

I know the first time I tried to apply the theme it shot me an error, I just closed it and tried again and it's been working fine since.