Theming a form, like theming almost anything in Drupal 6, requires registering the theme function with hook_theme in a module or a theme. The FormAPI docs and the Drupal 5.x to Drupal 6.x form upgrade guide (Drupal 5.x to 6.x FormAPI changes appear to remain a little deficient in explaining this.
See for instance How to theme a form in Drupal 6.x?
Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution 3.0 Unported License.