Themes

Hi:

I am new to WordPress, 4 years ago I designed a website for a friend using HTML. Now I am trying to build a website with word press, but to me HTML was much straight forward but time consuming. I already installed WordPress on my server account and have domain name. But I downloaded a theme and was hoping this theme will be install on my site, but instead, I had to download it on my desktop, now i unzip it and just see bunch of files, I am lost. Your help is appreciated.