It's pretty simple. Most themes will come in a format that allows you to simply drag them into the appearance menu and they'll work (if you're using Gnome, you'll want to look for gtk themes by the way). Other, more advanced themes will come in a .tar.gz file that you have to extract, and inside the extracted folder they'll usually contain instructions. If you cant figure it out, just post a link to the theme you want to use and I'll give you step by step instructions on how to install that theme, because sometimes you have to take different steps for unique themes.
Edit: I would advise you to look at Katzedecimals post below also. He's the one who basically taught me anything I know about the whole thing anyway