When it calls for a folder that does not exist- you need only create it.
Right click in your home directory, select "new Folder" and name it .themes to create it. You need that dot at the beginning.
That is all there is to it.
While you are at it, create one for the icons, too:
.icons
Those are not necessary- only suggestions. You can also place your theme file or your icon set file into /usr/share/themes or /usr/share/iconsand it will work just the same (and system-wide, at that.)
It is understandable that such could be confusing. But FOSS and Linux area all about User Control and the decisions and actions being under the users control, not the OS. Unlike Windows, it will not automatically register and create things for you- things that do things other than what you want them to do - but that lack of automation also means that you are in control, rather than having to answer to the system.
Those first steps seem daunting when you are uncertain of what to do. That is why we on the forum are here- To step along beside you and help get you going.
But let's be honest- Creating a new folder is not headache inducing. Not knowing what do do may be, however...
I make my own themes and my own icon sets - so for me, customization is like second nature.
It is easier to forget that time when I first moved over to Zorin and had to learn all this stuff- and had no idea what to do or how to do it.
