im not sure about what proxy folder you are referring to, but i wouldnt sweat it...

tsk files should be installed to the /windows/ directory on your device. alternatively theres a utility out there that allows you to run today themes from external storage, but i cant remember the name...

tsk files change the appearance of your today backround and all the menu and dialog colors. the themes can be changed in start/settings/personal and click the today icon...

jd