The application Winrar is used and needed for this tutorial to work
(and will assume this is already installed throughout the walk-through).
And I will be making an installer for a visual style for win7.

First, You will have to either find, or compile a suitable windows format icon (.ico).
You will also need a custom bitmap image of at least 100x350 pixels in dimension.

Now, select both the .theme file and the folder containing the .msstyle.
These both should be in a folder together, alone. Select both items, not a folder containing both files.

1. Right click the items to bring up the explorer context menu. Select the option; "Add to archive...".

2.After you do that, winrar will bring up a gui for you to navigate more specific options for your new archive.
Name the archive what you want the installer title to be. Check the radio button; "Create SFX archive".

Then select the "advanced" tab at the top of the gui, next to "general".

In this screen, select "SFX options".

3. Here, we find all the important stuff we need to customize our installer.
First: On the "general" tab, fill out the path to extract to "C:\Windows\Resources\Themes"

4.Second: Select the "Text and icon" tab.
Here, you can fill out basic information you want displayed about your files.
More important, this is where you can input your personal icon and header picture (the bmp image).
At the bottom of this screen, just choose both files appropriately to the images you want to use.

5. Third: Fill out the information in the "Licence" tab. I usually copy/paste the info I typed in from the "Text and icon" tab.
Then, select "ok". And it will take you back to the main gui. Select "ok" again,
and it will start making your new custom installer for your theme.

And you are finished with your great looking new theme installer