Cinderella_17, The firmware is the software that runs your player much like Windows is to your computer.
Theming your own firmware is safe using someone elses already themed firmware is not.
To theme your player you need the following resources:
You need to first extract your firmware from your player using s1fwx.
Download
HERE
Guide
HERE
Then you can change the images using s1res
Download
HERE
Guide
HERE
Then reload your firmware to your player using MP3 Player Utilities Update Tool
Download
HERE
Guide
HERE
You will find a great selection of themes
HERE