can’t locate wp-content message?

I’m sure this is well-worn subject, but I can’t seem to make any of the sugestions from the earlier posts work. I’m just setting up my first wp.org blog on my site and any attempt to change the theme results in this message.

I don’t really know jack about wordpress/php structure although I know a bit of html.

I’m trying to install it within my site – with a few normal HTML/CSS pages up front, but at his point I would be content with my index page just being the blog.

help! Thanks!