A theme is a set of files that works with the database and the core WordPress files to produce the layout and appearance of the site. All the themes that have been installed on the site will be located in a folder in the wp-content folder along with other folders like the plugins and uploads folder. Each theme you install will have it's own separate folder inside this theme folder.
Themes can be found in the WordPress themes repository (all of these are free) or they can be purchased from developers.
Navigate to the Appearance admin panel and click Themes.
Using a theme is a two step process. First you install the theme and then you activate it for use on the site. The themes screen is where you manage your Themes. You can install, live preview, delete, activate, and update themes from this screen. There are two tabs on this screen, Manage Themes (the default view) and Install Themes.