I've picked up a few themes from uplay. Once you log into Uplay (via the xbox), you select the item you want to redeem points for, in this case a theme, you select, confirm and it downloads. Then, you can go into your "change theme" menu on the xbox 360 dash at any time and select the theme you bought off uplay, just like any other theme. You DO NOT need the game in the tray or anything like that. The theme is effectively a separate file on your 360's hard drive.
That's how I've done it. My suggestion is to put a ubisoft game that uses uplay and access the uplay menu that way. You may need to link your xbox profile to your uplay account or something if you are only going to access uplay via the web.