I downloaded my visual style. What do I do now?

Depends on your Operating System. If using Windows XP service pack 2, have a look here.

Check this topic

URL edited by Gruzz

I didn't knew of that topic. Good job on that one, but you posted some strange characters in the link. I'll edit your post.

And what about Windows XP SP3?
 

Applying a Visual Style in XP Service Pack 3 goes the same way. Except that you might need another patch thing. I'm not sure about that. If your question is regarding BricoPacks, have a look here.

 
If the visual style isn't a modified Luna .msstyle than you need a patch like uxtender or any other theme patcher, but if it is signed by microsoft (meaning that the text properties still lean towards the default Luna) than you don't need to patch it. There are two ways to tell if it is: if it says windows can not apply this theme, or if you open it and the version info is changed differently than the default Luna. to open a visual style use a resource editor like reshacker