If you have already selected a WordPress theme, read this article to install the theme on your blog. Installing the theme is very easy task. You would require a FTP client for this. I use filezilla which is a simple and very handy tool. You can download it from this link. Here I assume that you already have downloaded a theme that you want to install and it is compressed in zip file format.
1. Unzip the file
Suppose you downloaded the theme and placed it on C: drive of your PC. It will be like C:\mytheme.zip. Now unzip the file. You would get all content of the theme in C:\mytheme folder.
2. Upload the Theme files
Connect the FTP client (filezilla) using the username and password given by your web host. Left window will display local files & folders while the right window will show the remote directories and files. Locate the WordPress installation of your blog on the web host. Navigate to /wp-content/themes path. You have to put your wordPress theme in this location. From left window, click on the theme folder and drag & drop it to the right window (ie in /wp-content/themes directory). Once the transfer is completed, you can disconnect filezilla.
3. Activate the Theme
Once you have uploaded the theme, all you need to do is activate it. Logon to your wordpress blog using the admin credentials. Navigate to Dashboard -> Appearance -> Themes. You will see the new uploaded theme and a link to activate it. Click the link and you are done.