Installing theme into GoDaddy host acct. (newbie here)

I have a GoDaddy hosting acct. for my blog (bloggirl.info). I installed WordPress into my acct. via godaddy.com control admin page. I am able to log into WordPress via my domain in my browser, but when it comes to installing a new theme, I am confused.

I read in the help files that once I find a theme and download it, I then need to upload it to the directory on my host that houses the themes. The problem is that the FTP is not letting me upload the FOLDER for the theme. It will only let me upload a single file… and as we know, themes have many files.

What am I doing wrong??? This is really delaying things for me. Please help soon.