Of course a Yankees fan needs help with this
Note: I am assuming some version of Windows that is XP or higher
1) Plug the USB cord in to the phone
2) Plug the other end in to the computer
3) You should now see a notification in your notification bar on the phone
4) Open the notification bar, and select the USB Connection notification
5) Select "USB Mass Storage"
6) On the computer, you should now see a removable storage device or a new drive in My Computer (this drive is your sdcard on the phone)
7) Copy the theme or wallpaper from you computer to a folder in the new drive (wherever you like!)
8) When you are done, open the notification window on your phone, and click the USB Connection notification again
9) Select "Charge Only", then wait for your phone to finish checking the SD Card
10) Unplug the USB cable from the computer and from the phone