You need to register your Theme in the Administration section
You also need a Global folder in your Theme.
So short storry
create for example
put your stylesheet.css in the Global folder
Log in to Backend - Administration - Setting - Advanced - Apperaence - Frontend-Themes
should give you an idea
I would NOT use a _ in the ThemesName and NOT use a Space as Theme Name in Frontend-Themes (I had problem when I did but am not sure if this is really a problem or some strange behavoir on my setup)