pick your theme FIRST... THEN drop the stwater_800_480 file in the windows folder. but you just change the theme first (try it with the device NOT attached to redfly).
so...
1) with the device disconnected from the Redfly change you theme (I assume you'll want red bars.. use the Guava Bubbles theme)
2) make sure the image you want on your redfly is named "stwater_800_480.jpg" and copy it into your "windows" directory
3) connect to the redfly via your connection of choice and enjoy your redfly goodness.