Q. 1. What is a Theme/Visual Style? Are both same or is there any difference between them?
=> Visual Style & Theme are not same. But many people use these words in same manner. Actually Visual Style has extension .msstyles, while a theme has extension .theme.
Visual Style is the main file, which skins all parts of windows, like border, titlebar, buttons, etc. A theme file stores all settings, like icons, wallpaper, etc along with the visual style.
Q. 2. When I opened Display Properties, I got only 3 Visual Styles, Blue, Olive Green and silver. How can I get more?
=> You can download themes for Windows XP and Vista from following section:
Q. 3. I downloaded some Visual Styles, but none of them are working on my computer. Am I missing something?
=> By default, Windows doesn't allow 3rd party themes. So you'll need to patch a file uxtheme.dll to allow 3rd party themes. Take a look at following article:
How to Install & Use Custom 3rd Party Themes in Windows XP, Vista & 7
Q. 4. Can I edit my downloaded .msstyles file?
=> Yes, You can use Resource Hacker to edit themes, but it requires some expertise.