Here is the procedure for Windows - it's a bit tricky but works fine:
1) Choose a fancy theme from http://art.gnome.org/themes/gtk2. Here we go with the theme Darkilouche for example. Download it, unzip it, and untar it --> find tar for Windows under http://www.gnu.org/software/tar. Or, if you've got a LINUX computer or a Mac at hand:
tar -xvf Darkilouche.tar
2) You'll get a new sub-directory with the name of the theme, thus Darkilouche.
3) Create under C:\Z88AURORAV2\WIN\SHARE a subdirectory THEMES and under THEMES a sub-directory RALEIGH (which is the default theme for GTK+ running under Windows). Thus:
4) Copy the whole content of the sub-directory 2), i.e. here the content of Darkilouche into the directory C:\Z88AURORAV2\WIN\SHARE\THEMES\RALEIGH, which will then contain the following:
Other themes may read different. However, the theme Cillop-Midnite contains only gtk-2.0 and LICENSE.
5) That's all. Launch Z88Aurora.
If this procedure won'nt work correctly then delete just the directory C:\Z88AURORAV2\WIN\SHARE\THEMES. And you've got again the default Z88Aurora.