Roger, have you checked your computer to see where the Photo Gallery files are (since they aren't in Program Files (x86)? I don't have the Gallery on this computer, but all my other CC software is in the same place as your example above.
If you can't track it down, just download it again and see where CC installs it to.

Thanks, Paintbrush. I've tried redownloading. There are still no .vnu or .vns files. Should there be?

I've copied the 'blue_silk' folder I do have to three places with no luck:
C:\Program Files (x86)\coffeecup software\CoffeeCup Photo Gallery Themes\blue_silk
C:\Program Files (x86)\coffeecup software\Visual Site Designer\Themes\blue_silk
C:\Program Files (x86)\coffeecup software\Visual Site Designer\Themes\My Themes\blue_silk

Any suggestions?

Roger

You cannot use a Photo Gallery theme in Visual Site Designer. That theme is specifically created for Photo Gallery.