plug ins

Hello, I am new to blogging – I am trying to set up a site as a uni project. I would like to add a new theme and a plug in to give myself privacy as I do not want this to be a public blog. However, I cannot work out how to add these items to the blog – I think I have to download them to my computer, unzip and then upload but first of all I can’t unzip them on to my computer and I don’t know where to put them – should I create a folder to put them in, and then I can’t upload them to my blog – or do I upload them to my webhost, and if so how do I get them to my blog? I do have a FTP tool, and I downloaded a free zip tool, but that’s as far as I have got.