If your blog is hosted at WP.com, you can only use the ones provided here, found in the theme directory. If you’re using WP.org, then you will be able to upload them to the theme directory inside your domain, unzip them and then once you log in at your admin panel of your WP.org blog, you should see the new themes in your theme viewer.
However… if you are on WP.org… this is the wrong forum. Most often you would just be told to seek the WP.org forums for advice. I only answered your question because I do have a WP.org blog as well as a WP.com blog and have uploaded other themes to it just as I said.