Extract the theme to /usr/share/themes for a system-wide install or to /home/USERNAME/.themes for a single-user install. The path should read something like /usr/share/themes/THEMENAME/xfwm4/ or /home/USERNAME/.themes/THEMENAME/xfwm4/, where THEMENAME is the name of the theme.
To install UI themes:
If it's .tar
gzipped .tar.gz
.tar.bz2
Themes should be selectable now in the settings manager.