What Adobe applications are you using? What version(s)?
If you have Creative Cloud applications, you can use the Library panel (Illustrator CC and Photoshop CC) or the CC Library panel (InDesign CC) to add them to your applications.
Which version do you have? Which product are you talking about?
I am of course talking about "Adobe Kuler" like I wrote earlier. I guess I have the latest version being a member in Adobe.
I saw this video about Kuler, and the teacher just saved the color themes on his computer. BUT he had a older version so I can't find the same things in mine.
Color themes aren't really saved to desktop, but they should appear when you open the Creative Cloud desktop apps. Open Illustrator CC and look in the Libraries panel (I've attached a photo). Also, Check in Color CC to make sure that they didn't drop into a library that you're not looking at.