In every theme, you will find an XML file. What you need to do is head into your ACP > Templates & Style > Import a Theme > Import from > select your XML file from your themes folder you downloaded.
After that, just enter a name in the "New Name" field. I normally check "Ignore Version Compatibility", normally the themes README will tell you whether or not to do this step.
Also with your theme, you should have an "Upload" folder, this is to be FTP'd to your "/images" folder; normally.
After that, your theme should be installed 🙂 Hope this helps.
To upload the "Upload" folder for your theme, you will need a FTP client like FileZila. Go to your sites main root, where all of your PHP's are and folders like: admin, cache, inc, uploads and what not. You will also see an "Images" folder. You will need to place your "upload" folder contents of the theme you have into there.