When working on a localhost, you have to use a special procedure as described in the user manual chapter 9.
There are plenty of limitation when working on a localhost because the environment used by JMS are not filled. This is the reason why this special procedure exist to simulate production websites.
The requirement is that the URL is
localhost/.....
To simulate a slave site defined in JMS, you have to add a parameter in the URL with the domain name that you want to simulate. See page 58.
When working on a Windows platform, the Symbolic Link is forbidden.
Concerning the themes, you have to install them on the master website and after that you can select them into the slave site.
Go in the slave site administration and go in the Joomla template. There you can select the default template.
Remember that JMS is not designed to work on a localhost and that the special procedure is just present to simulate a real environment.
There are a lot of limitation when working on a localhost.
So if your target environment (production) is for example a unix machine that allow the symbolic link, the fact that you will develop on a localhost and also on a windows platform will reduce the functionalities available.