This gets asked SO much
Remember people, search is your friend. It won't bite!
In my experience, most theme authors have mini instructions on their first post of the thread anyway.
It's no skin off my back though, in General you do this:
Rename the zip file "update.zip", place in the root of your SD card, turn off phone, hold power and home buttons, ... wait for it to boot into the recovery screen ..., alt + s
Before following these instructions, check on the first post of the thread that has the theme you want to install. Like anything else you do in the recovery console... you could brick your phone... blah blah blah. Use the search if you are confused or in doubt about any of the steps. It has a lot more information than I and infinite patience.