From the codex
To add a new theme to your WordPress installation, follow these basic steps:
1. Download the theme archive and extract the files it contains. You may need to preserve the directory structure in the archive when extracting these files. Follow the guidelines provided by your theme author.
2. Using an FTP client to access your host web server, create a directory to contain your theme in the wp-content/themes directory provided by WordPress. For example, a theme named Test should be in wp-content/themes/test. Your theme may provide this directory as part of the archive.
3. Upload the theme files to the new directory on your host server.
4. Follow the instructions below for selecting the new theme.