Theme Installation Problems (can’t select custom themes)

I’ve got a host setup through godaddy, custom domain, installed WP 2.9 thru godaddy on the root directory, downloaded the theme I want and placed it in the wp-content/themes folder (un-nested) but when I got to my admin panels, I get the same list of themes as if I were using a plain old free blog on WordPress.com.

Since I’m new to all of this, I’m not sure what to look for when troubleshooting. The only part that looks suspicious is that when I login into my admin, its the following URL: example.wordpress.com/wp-admin.

is that right or should it be example.com/wp-admin

Any info would be greatly appreciated.