https://bugs.winehq.org/show_bug.cgi?id=32836
--- Comment #5 from Rosanne DiMesio dimesio@earthlink.net --- Windows.Classic.theme is part of Windows XP. I don't think it can be legally redistributed.
I also tested a couple of themes I found on Deviant Art that include both .theme and .msstyles files:
http://alperyesiltas.deviantart.com/art/Aurum-VS-1-1-38101312 http://kayeirene.deviantart.com/art/VistaPerfection-X4-Msstyles-43412013
In both cases, winecfg can load the .msstyles file but not the .theme file.