forum.css.tmpl and header.tmpl
Also see
$ find . -name header.tmpl ./thm/default/tmpl/header.tmpl
Well, you need to install FUDforum first. After that, these files will be here:
$ find . -name header.tmpl ./thm/default/tmpl/header.tmpl
Your image shows the web accessible files. The templates are under the data directory so that hackers cannot get to them. You've specified these directories during "Step #1" (Path of System Files and Directories) of the installation process.
Navigate to "Admin Control Panel" -> "Global Settings Manager" and look for:
Data Root:
The directory where the forum's internal data is being stored.
Alternatively, if remembering the directories where you install software are not your thing, simply use the "Template Editor" (see link above).