Installing Premium Themes

Hi somebody – I managed to install wordpress on my new domain via my bluehost account – easy. Next step was to upload a premium theme from themeforest – problem. I go to install theme and then upload the .zip file from my desktop. problem is here – it tries to connect to my domain and keeps on trying until it times out I guess. I tried with a much lighter theme (size wise) but it still just goes on forever. Any Ideas?

p.s. I have a good connection and fast line