The Theme controls how things are displayed – a Post or Page is a dynamic item, WordPress does not store the old Posts in a traditional way we think of web pages. WordPress displays each Post on the fly or dynamically only when you want that Post displayed – WordPress gets the information from it’s database for any particular Post and then makes displays that Post on the fly so to speak.
When you change a Theme everything that is displayed takes on the new look.
What if I just started my blog and already picked a theme and want to install a new custom theme, is that possible? The free and available themes are very limited and I want to buy a domain for my blog but dont like the available themes provided by wordpress.
At WordPress.COM you are limited to the 100 or so approved Themes unless you use the VIP program for very high visitor sites (Seems that is 50k visits a month and $ 500+ a month) – or you can self host your own site, find your own host and install WordPress.ORG software then you can do most anything you want. Figure $ 10 to $25 a month for starters.