In order to use Theme Roller, you need to enable JQueryUI for data tables
$("#myTable_id").dataTable({
bJQueryUI: true,
sPaginationType: "full_numbers"
});
and make sure you have everything linked correctly on the page:
<html>
<head>
<title>Yoursite.com</title>
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
<link type="text/css" href="css/jquery-ui-1.8.13.custom.css" rel="stylesheet" />
<script type="text/javascript" src="js/jquery-1.6.1.min.js"></script>
<script type="text/javascript" src="js/jquery-ui-1.8.13.custom.min.js"></script>
<script type="text/javascript" src="js/jquery.dataTables.min.js"></script>
</head>
See http://datatables.net/forums/discussion/5851/using-themeroller-/p1