If you download it to your computer, you need to use Desktop Manager to install it. Once it's installed, you can go to Options > Themes and select the theme you installed.
Please, Please use the "Search Forum" function dude! If it says OTA-then click on it with your BB browser and it will auto download to your device. Then go to options-theme-then select your new theme. If it is a zip file then you have to use the desktop manager software that came with you phone to install. There are lots of threads in the crackberry forums that address this issue in super detail. USE THE "SEARCH FORUM" FUNCTION.
I'm new to Blackberry as well but the first time I was told to use the "search forum" function-I did-and amazingly- it works. This a very helpful community of users and they have encountered-asked-and answered *almost* any question/problem that you will run in to. All I ask is that you check to see if your answers are already out there before you clog up an already packed forum with redundant questions. That's all. Again welcome to the world of BB.