First of all, are you using WordPress on your own domain (ie. you have installed WordPress on your "yourdomain.com") or do you have a free account at Wordpress.com?
If you are using a free account on Wordpress.com, I don't think you can change the theme. You can certainly make changes by editing the CSS. Which theme are you using now and what do you need to change? Email me and I'll see if I can help you out there.
If you have installed Wordpress on "yourdomain.com", then:
1) The first thing you need to do is get a FTP client. Go to
http://filezilla-project.org/ and download one from there. Follow the setup instructions to set it up on your computer.
2) Next, you'll need to unzip the theme(s) you've downloaded. You can get WinZip here (
http://www.winzip.com/index.htm).
3) You will also need to contact your website hosting service provider and ask them for your FTP login details. You'll need your FTP host, username and password.
4) Once you have done all the above, login to your FTP account using FIlezilla. Look for the folder where your Wordpress is installed. Then, open then"wp-contents" folder and then "themes". Transfer the theme files from your computer to this "themes" folder.
5) Login to your Wordpress admin panel and click on "Appearance" (or "Design" for older versions of WordPress). Activate the theme by clicking on the one you want to use.