I've tried extracting files into the icewm/themes directory, but it said I cannot create a new folder in the directory. How can install themes for icewm?

try extracting them first in your home directory, then become
'root' and move ('mv') them to the icewm/themes directory.

you want to get this done right the first time to avoid having
to reinstall icewm and trying again, so you might practice this first by moving
the extracted files to a directory you create under your home directory.

the fact that important system files are owned by root and not by yourself in your
login persona of a regular user - is to protect you from trashing Something Important.