The THEME files contain an overview of the setting of the MUSH. If you have not read A Song of Ice and Fire, they are a crucial introduction to the game. Please note, however, that these files are relatively brief and not intended as an exhaustive source for thematic information. Instead, they provide an overview of various aspects of the setting, in order to give prospective players an understanding of what the world of Westeros is like. They are also used to highlight differences between the books and the game that have developed through play.
More in-depth setting information can be found in the Articles section of the game website as well as on the sister website, the Citadel. In particular, the Concordance, which is an exhaustive listing of all thematic facts from the books. We urge all players to familiarize themselves with the Concordance. The About the World section of the FAQ also has some useful background information (though there are also some spoilers there).
Finally, Westeros.org also includes a wiki and a forum with lots of information about the books. However, keep in mind that the wiki and the forum contain a lot of spoilers and that not all that information there has been checked for accuracy by Balerion and Nymeria.