Its a Wordpress Theme Generator, its totally internet based so there is nothing to download. You play with it and get it the way you want and tell it to generate and its done.
Click on save and it saves it as a zip file and you can then upload it to wordpress. Pretty cool!
Its not the fullest featured thing I've seen but its free and easy and nothing to download.
If you want to check it out than Wordpress theme generator is back! - theme-generator, design your own wordpress theme
If you know of anything else like this I would love to know.