Locate the Data/ folder in your Skyrim installation directory. Typically it's found at Program Files/Steam/steamapps/common/skyrim/Data/.<br />

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Extract the contents of the downloaded archive file to your Data/ folder. If you are asked to overwrite anything, confirm it.<br />

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In case you want to use a custom icon theme:<br />

Locate the Data/SkyUI Extras/ folder. In there, pick a theme sub-folder and copy skyui_icons_cat.swf and skyui_icons_inv.swf to Data/Interface.<br />

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Done!