First, ensure that you have installed the latest UT3 patch. At the time of writing the latest patch is 1.2. Failure to have this patch will cause various issues - the most important being that the game will crash when selecting a team without at least patch 1.1.
For Windows Vista users: To install ThieveryUT3: Nightblade, extract the zip file to your \Documents\My Games\Unreal Tournament 3\UTGame\ directory. Make sure the file path structure is extracted.
For Windows XP users: To install ThieveryUT3: Nightblade, extract the zip file to your \My Documents\My Games\Unreal Tournament 3\UTGame\ directory. Make sure the file path structure is extracted.