Yes, the theme is just artwork -- a picture of what the site design should look like -- and you need to disassemble it into its component parts. If it's supplied as a PSD file, the various elements will usually be on separate layers, making it easier to save the various background images you'll need for your CSS. I don't use Dreamweaver, but it's probably possible to import the PSD and have Dreamweaver create the CSS for you. I wouldn't rely on that, though -- it will work out better for you if you design your own compatible HTML page (semantically meaningful markup, with appropriate divs, ids and classes) to which you can attach a more appropriate style sheet.
The hard part of design is coming up with it, not making it "real". Good designers, though, aren't necessarily good coders -- there are a lot of talented people who can create a great in-browser user experience but who haven't got a clue about HTML or CSS. Others don't want to impose an inappropriate document structure on your project. I know that as a developer I'd much rather get a UI design as a PSD than as an HTML page with CSS and images; it's far easier to code something than it is to re-code something someone else has done.
