In this video, we will apply a theme to our newsletters.Back on the HTML Mail project page, we can scroll down and find the configuration steps listed right there for us (you can also find these in the README.txt included with the module download).

We've already configured the Mail System settings, so the next thing we need to do is configure the HTML Mail settings. These are found at "Configuration => System => HTML Mail"

Here we have a three step process laid out for us.