A theme usually consist of 2 files or more. Example: aero.theme & aero (folder). This is the stock windows 8 theme located in your themes folder. When you download a new theme. It will have different names, but have the same layout. The themes file and folder. All you have to do is place both of those into:
Once you have a theme installed correctly like so: (You should see it in your personalization window)
Select the theme in personalization window to apply the theme.
That's all. Pretty simple theme install!
Though that may be a simple theme install, some themes require more steps before they work properly. Always read the readme file as they always tell you what needs to be done to get your theme working.