If you've purchased a theme from the Marketplace:
1) assign the license to your site from your Project page (upper left of page, "My Account" - "Projects" (right sidebar) - "Your sitename" - "Associate" (button and drop-down at page bottom)

then
2) go to your site and log in to "Dashboard" - "Extend Concrete5" (bottom left) - select download and install as promted.

3) got to dashboard - "pages and themes" - "themes" and select activate

Enjoy :)