Inside your WordPress instalation there should be a folder called wp-content. Inside that folder is a folder called Themes. Put it in there, then go to your Dashboard and activate the theme from there.
It'll be in the folder that you installed WordPress to. For example, if WordPress was installed to your public_html folder, it would be in /public_html/wp-content/themes/ If it was in a folder called WordPress, it would then be in /public_html/wordpress/wp-content/themes/