How to import themes and templates

Now that I got wordpress to work i would like to start with some templates I saw in
http://wordpress.org/extend/themes/

I have downloaded one to the desktop but cannot see how to include it in the wordpress folder. I got as far as working out that it should go into wordpress/wp-content/themes but wghen I try the upload through justhost,or filezilla it asks me for a file rather than a folder. So what should I transfer?

Thank you

qim