A theme is the CSS and HTML (among other bits) that control the look and feel of your website. These often work in conjunction with plugins (which give your site its functionality). While it is possible to create your own themes and plugins, we prefer to support the developers on ThemeForest (that, and they are so much better than our web design Manchester agency!).
Once we have selected the theme that we want then we need to import it into WordPress. This is done by going to themes/upload in your dashboard (It can also be uploaded via cPanel). From here it will unzip the package and save the website files to your server. The next step is activating it, and then installing all the required plugins that come with the theme. More often than not your theme will come with the dummy content of how you saw it displayed on Themeforest.