From Just Solve the File Format Problem
Starting with Windows 95 it became possible to have a single file define the visual theme of entire GUI of Windows. These files were distributed with .Theme extension, which in part was due to Microsoft driving the point home that extensions could use mixed case and that they could be longer than 3 letters.
Theme files contained description of colours, fonts and font sizes, and decoration settings used by windows and dialogues, mouse cursors (but not mouse cursor additional settings like trail), they could also contain the wallpaper image. They, however, could not change the startup logo used by the machine.