Go to C:\->WINDOWS->Resources->Themes; it should be there. Simply delete them and they will no longer show up.
It is also possible that your theme files were saved somewhere else. If that is the case, I would do a search for them through the Windows XP search feature.
i have all this theme that i like to delete. i open properties ans look at themes and desktop, screen saver, but i loike to delete all this images from desktop wallpapers..... please help me. thank you.