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Theming
Theming is the work necessary to take total control of the output/layout coming from drupal, without using one of the pre-made themes alone. A new theme can use another theme as a base. It would probably be best to review the basic structure before starting, and then take a look at one or more themes located in the core drupal install.
create the folder
create a folder to contain your theme here: <drupal install>/sites/<sitename such as default>/themes/<your theme name>
create a .info file
.tpl.php files
Create a page.tpl.php file to style the main layout of your site. Then create a node.tpl.php file to control the content output coming from your nodes. If you create a custom content type, you can then control it by creating a node-<content type>.tpl.php file.
create a style.css file
This will control the visual layout of your site.
enable the theme
Once your theme is roughly set up, you need to enable it in the drupal admin, under Administer→Site Building→Themes.