Using: KDE 4.1 (Self-compiled development version)
Question: How can I change the way Plasma looks?
Answer:
Right click on your desktop and select Desktop Settings.
On the Deskop Settings window expand the Theme list to see all the themes you have available.
If that’s not enough for you or you can’t find anything you like, use the New Theme button to access even more Plasma Theme goodness.
This “Get Hot New Stuff” (isn’t that an awesome name?) window let’s you browse and manage the themes available online. You can install, uninstall or update them by pressing the button on the right side of each item. You may notice that the GetHotNewStuff service is currently a work in progress, with some pretty cool features planned. I’ll more than likely keep you posted as they unfold 
Once you’ve found a theme that looks promising, go back to the Desktop Settings window and expand the Theme list. Select the chosen one and press Apply to see it in action. When you’re happy with your choice press Ok and enjoy.
No, really, enjoying is required to finish the process.
Update: I recorded a video of the process, but I don’t have anywhere to upload it in OGG format. I tried YouTube and GoogleVideo but quality is awful. Vimeo did a better job and if you log in it lets you download the original file, so here it is:
