Windows 2000 only recognizes themes with the .theme extension. It can use Win9x themes with a .the or .thm extension if you rename the extension to .theme.
You might want to consider Desktop Architect which is theme management software for Windows 95/98/ME/NT/2000. Desktop Architect gives you the power to create and use themes to give your desktop a personal look and sound. Best of all, it's completely free!
You also might want to check out Patti's Themes.