Well, you can configure a lot of things regarding the desktop, especially in KDE.
I'm still not sure what you mean with "theme", or what you really want to change.
The menus and texts/texts background in an application are totally unrelated and not at all influenced by the desktop theme.
Maybe you are talking about the "widget style" here? Or the color settings as already mentioned in the first post?
Both settings can be found in "Configure Desktop"->"Application Appearance", and you can configure colors for many elements separately without having to choose a color scheme.
KDE4's desktop themes are located in subfolders in /usr/share/kde4/apps/desktoptheme/. If you want to change an existing one better create a copy with a different name and edit that. Changes to the existing ones might get lost when installing updates. Or copy it to ~/.kde4/share/apps/desktoptheme/ (create the folder if it doesn't exist) and change it there. And there's also a possibility to download new themes from the Internet (click in "Get New Themes..." in Configure Desktop->Workspace Appearance->Desktop Theme).
But as I said, I'm not at all sure that you are really wanting to change the desktop theme.
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