Is this a theme that was created from a older build of Windows 7. If so, then that may be the problem. I have noticed that the default subfolders C:\Windows\Web\Wallpaper subfolders was changed in how they were organized a few builds back. Creating a new theme pack from within the 7077 build on should work fine for now though.
After you have fixed this theme, you can save it as a new theme pack file to allow it to work for next time you install.
Hope this helps,