If the theme is an OTS2 format theme with *.zip extension.
-- Extract the theme to your "\Themes\" folder.
-- Now goto the change themes menu in ur main menu and click "Refresh List".
-- If its a valid OTS2 theme then its name will appear. Select it to load it.

If its a OTS2 theme with *.lsz extension.
-- Double click to install the theme.

The Theme installer can also be used to do the same. Just point it to either the zip or the lsz file and it will install automatically.

If the theme is not OTS2, i.e its OTS1 then install it using the Theme Installer.