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Hi and welcome to the XOOPS community!
For a very good introduction in themes and templates, I recommend you read thru the
Themes vs Templates pages in the XOOPS Wiki.
Basically, a theme controls the general page layout. They're static files that you upload into the /themes/ folder on your server. Check out the themes in that folder and see what files they are. You'll notice they all have a theme.html and style.css file, some have additional files.
A theme controls the static part of a website: the things that don't change when you're viewing a new page.
Templates on the other hand, are loaded into the database when installing the modules (and the system), and can be edited by going to the system admin -> templates manager. They control the look and feel of the dynamic elements (blocks, module content pages etc.). Templates are organised in Template sets, and there aren't that many template sets around.
Most of the time, people create a new theme and use the default styles in the style.css file to give the default templates the look and feel they want. Thus, you only have to edit the theme.
I hope this makes it a little clearer!
Herko