If a style is a .zip files that has an .xml file and a directory. the .xml file is what you import from the admin area of xenforo, the directory with the files, usually images, goes merged with the existing styles folder.
for example, there's already a /styles/ folder with inside it /default/ which is used by xenforo.
If your style's .zip unpacked has a styles folder, with inside it /somename/ then you should end up like this - after uploading it with say an FTP program to the host
/public_html/styles/default/
/public_html/styles/somename/