After having read this and this other document I was able to modify the CSS file (/sap/public/bc/ur/nw5/themes/sap_tradeshow/ur/ur_ie6.css) and therefore change the look and feel of my Web Dynpro ABAP applications without having to use the theme editor.
But that change applies to the whole server and to every application developed in it. Is there a way to assign a CSS file to a specific Web Dynpro component?