I believe you have to root and run CM6 (cyanogenmod6) for EVO. Same thing with font, you flash it with a recovery image once rooted.
Just place the icons on the root of your sd card. I prefer to put them in a folder labeled "icons". You can use bettercut or anycut (free) from market to make icons or launcher pro to make custom dock icons. You won't need root for this
The power widget comes with the theme (minimal matte for CM6) but there are alternatives on the market with transparency settings like switchpro.
Pretty much, you can alter most of it without root save for changing the notification bar and some minor custom settings.
Glad to assist and let me know if there's anything else you need help with.