The 'Reaper window' is the Reaper application itself. So it means doing a drag & drop of the .ReaperThemeZip Theme file from Windows File Explorer or macOS Finder onto the Reaper application (window).
As shown here:
https://www.youtube.com/watch?v=vYLxoVZhO5g
What Themes are you trying to install in this case (can you maybe post a link)?
Because in some cases Theme packages might come in a .zip or .rar archive (including additional things besides the .ReaperThemeZip Theme file like icons, menu or toolbar settings, etc.) which needs to be unzipped first.