If you have wordpress.com, you can only choose from the available themes. If you have wordpress.org, you can uploaded other themes.
Apperance – themes – you will see your current theme, and on the meny on the top of this page: install themes – upload.
Read this:
http://codex.wordpress.org/Using_Themes
Do you have wordpress.com? If you have, you can¨t install a new theme. But you can change themes to those who are available.
