System restore does not generally impact personal files. Only windows files, drivers, registry settings and things like that. When you select a restore point you can scan for affected programs which will show you what will be changed by the system restore.
However, it is always a good idea to back up your personal files and data in addition to using system restore.
If you installed your themes AFTER installing the hotspot shield, and/or after the last restore point was created, then I'd recommend you back up your themes before using system restore.
If you have had your themes in place for a while (before the restore point, or before installing hotspot shield), then you'll be ok.
For example, if you installed hotspot shield on October 10th, then you would be looking for a restore point from the 9th of October or before.
hth
Tanya