Selected a theme, but can't see a preview

Selected a common theme – but it doesn’t appear to be working. I can’t see a preview of it and even when I activated it – then clicked on the button to visit the site, I got this message

This site is under development

This page indicates the webmaster has not uploaded a website to the server.

For information on how to build or upload a site, please visit your web hosting company’s site.

I am not a technology wizard — so please, laymans terms