At WordPress.com, you must choose from the themes in the Appearance > Themes section of your dashboard. They are also listed at http://theme.wordpress.com/
To use a theme purchased elsewhere, you need to have a self-hosted WordPress.org install instead of a blog at WordPress.com. So you will need to choose one or the other.
Sorry for the confusion.
You can find out more about how themes work at WordPress.com at http://en.support.wordpress.com/themes/
You can find out more about the differences between WordPress.com and WordPress.org at http://en.support.wordpress.com/com-vs-org/