Here the steps to set up theme:

1. Log in to wp-admin page
2. Go to appearance from the menu
3. in appearance you will find themes as sub menu of appearance
4. on clicking themes you will find themes page which has default themes of WordPress
5. you can choose any of the theme and if you want to add new theme of your choice then you can go to add new button present on right of theme
6. clicking on the add new button you will find numerous of themes from which you can select of your choice
7. click download for installation
8. then click activate to activate that theme which is installed
9. also if you want to upload you theme in WordPress which is downloaded by you from third party then you can upload that theme while clicking on upload theme button present after add themes.
10. For uploading you need to upload zip file of theme you want.
11. after uploading all you need to do click activate button to activate that uploaded theme by you.