No there is not - I first was trying it in the root folder my themes dir, and then I created a folder for it and hex edited aero.theme to point to it. What should I do to get a shellstyle.dll - just copy it from Aero? Is what I did the correct way to get a .theme file, as well?
Just copy aero's shell folder into the same directory as your msstyles. To make a .theme file you can copy aero.theme and edit it in notepad.