That’s not enough info to be able to help.
What’s the name of the theme? Are you sure you downloaded a theme and not a style (which were used in WP 1.2)?
Did you read the Using_Themes section in the Codex?
It is a theme. Flex, from Alex King. I have gotten it to the point where the directions say:
‘To add a new theme to your WordPress installation, follow these basic steps:
1. Download the theme archive and extract the files it contains. You may need to preserve the directory structure in the archive when extracting these files. Follow the guidelines provided by your theme author.
(this I have done)
2. Using an FTP client to access your host web server, create a directory to contain your theme in the wp-content/themes directory provided by WordPress. For example, a theme named Test should be in wp-content/themes/test. Your theme may provide this directory as part of the archive.
3. Upload the theme files to the new directory on your host server.”
Point 2. Is totally beyond me, a newbie. I do not have a host. I use Mac OSX (tiger). Not sure about what FTP client is for me or how to create a directory.