There should be instructions included with the theme. You’ll usually have two downloads, the installable zip file… which is what you upload to your server, and the all files version which should include any instructions or additional files. If you download that version, and unzip it… there should be some installation instructions included.
I’m no expert, but you usually go to the dashboard of your webspace and there should be an option to install/upload Wordpress themes. That’s where you want to upload the installable zip file. Anyway, if you’re having ny trouble, you can always contact the author of the theme who should be able to assist. Just head to the item page of the theme and then go to the support tab.