You were probably trying to download a theme which was designed for a different resolution than your Wii is set to. It's not your fault, the themes just aren't labeled properly in USB Loader. Each comes in 4:3, 16:9, or both. Depending on what your console outputs, a theme may fail to extract properly.
Go to the website, I forget what the url is but I think it tells you in the loader, and you'll see the resolution outputs for each theme. Pick out one which has your resolution, drop it into your themes folder on the sd card, and you should be good.