You can download the zipped file containing the Tolkien Desktop Themes here.

This theme includes various logos, and a complete assortment of cursors and sound files.  Simply download the .zip file and unzip the contents into your Themes folder.  (Unless you have changed it this is the "C:\Program Files\Plus!\Themes" folder.)  Then go into your Desktop Themes Control Panel and choose either the Tolkien LOTR or Tolkien Gandalf Theme.