There is no folder named themes in the _system_ folder but the gbaframe file is a bitmap image, so do I change that?
Can I harm my DS in any way by not having the right files in the m3 simply or will it simply not boot up?
The GBAframe is for when using the "boot slot-2" option, and although you can change that it won't effect the M3 Simply skin. Just sticking in random files won't damage the Simply at all, infact it will ignore them unless it knows what to do with them.
Try creating a folder called THEMES, then in that folder create another fOlder called THEME01, now download a theme from the internet and drag the 4 bitmap files into that folder (THEME01)
If the above works then thats how you skin the M3 v1.04 Final, just replace those bitmaps with any bitmap of the same dimensions, filename and filetype. You can go have another 11 folders going upto "THEME12"