You usually just click on the theme name. Sometimes servers are very busy, resulting in slow or even stagnant downloads. It allows you to resume downloads. Themes are almost without exception stored in zip format. To install themes, you'll need to use some theme application.
Most themes are very easy to install.
Just unzip them to your theme directory and install. But some themes are improperly coded. The most common mistake made is that the .theme file refers to directories or files that are missing or have nothing to do with the theme in question. Luckily, such mistakes are very easy to fix. A .theme file simply tells windows where to find wallpaper, cursors, icons, etc.