How to install new wordpress themes

Hello there.

I’m really new using the wordpress, but I’m liking very much. I quiet don’t understand how to install new themes. I tried to follow the instructions but I don’t understand how to upload the files.

Is there an easy way of doing this? I don’t want to change the themes, I just want to use a new one. The choice of the classical themes of wordpress is very limited.

Another question is that I always use the wordpres online. I don’t think that I have it download, and if I need to do that, I will I use it?

Can anybody help me? I want to learn! =)

Thanks