This is simply because Emacs custom themes are cumulative by default. To replace one topic with another, it is not enough to include a second. You must first disable the one you need to replace. Otherwise, the effect is to combine the two.
Most likely, the download sequence described by @ChristopherMonsanto has the effect of disabling the current theme and then enabling the zenburn theme.
FWIW, color themes (from the color-theme.el ) work differently than Emacs custom themes - color themes do not have this problem / function. For more details see http://www.emacswiki.org/emacs/ColorTheme .
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