Depending on how much you actually wanna change, the files in:
/styles/themename/templates - All html files
/styles/themename/theme - All stylesheets
/styles/themename/imageset - All images
The default style on a new install is prosilver, so in that case it would be like: /styles/prosilver/templates
There's not really an easy answer to what files specifically you need to edit, but in those locations all files regarding the looks will reside.
An easier way is probably to look for a pre-existing theme to install, and that matches up what you want.