• Login to your preferred FTP client
• Extract the ‘themename.zip’ to get theme folder.
• Make sure you are uploading theme folder only, not the whole main downloaded folder.
• More Info about installable theme: Where is theme to upload?.
• Upload the theme folder into the wp-content/themes at your domain.
• So it will look like: wp-content/themes/themename
• Log in to the WordPress Administration Panels.
• Go to : Appearance > Themes.
• Activate the theme.
• Done!

Not much info here?

Refer Codex for more info. Google may have many other help pages :).
Codex – FTP Clients