There is A LOT of information out there about this that has already been answered for you. There is a search button on this forum, there is one over at XDA, and most importantly there is a search button at Google. And I am not trying to be an a-hole or anything so please don't take this as disrespect or anything like that.
The best way for me to sum up how to do it is this.
pull your framework folder from "system" (If you don't know what that is, look it up, you'll find it no prob.)
Depending on what you are going to "theme" or edit, is simply pictures. or .png files.
and there is A LOT of them, hundreds, to thousands.
to change the icons for the notifications bar lays in one of two .apk. framework-res>res>DRAWABLE-HDPI
or, for the say, signal icons, theses are in com.htc.resources>res>DRAWABLE-HDPI
now, these are found in the framework FOLDER, which is what you will adb pull, OR just take from the already downloaded ROM.
once you pull the framework folder, inside will be those two .apk
framework-res.apk
com.htc.resources.apk
these are simply .zip files
to get to the folders I explained above you will need to simply change "com.htc.resources.apk" to "com.htc.resources.apk.zip"
a GREAT program for this is "7zip"
this allows you to edit the .png without having to re-sign the .apk if done correctly.
now this is a very summed up explanation, so you will still need to find a full tutorial, but this should help.
now, for say cyanogen roms, or some 2.2 only have a framework-res.apk there is no com.htc.resources.apk, as well, it isn't an htc ROM, and makes things MUCH easier when it comes to a full theme