Ah!
WordPress gives you two options for themes. Default and classic.
If you want more then upload to your host in a new directory. You would do the above in wp_content ->themes. Once tyou have uploaded the themes files and images you can then go to admin -> appearances -> themes and choose your new theme.
Mind you, your with a free host and maybe you must choose one of their themes. You may also not be allowed to touch the CSS till like at wp.com you buy credits.