Is your blog in a custom domain and owned hosting? If yes, then just upload the theme folder to root>wp-contents>themes. If you are using the wordpress.com's subdomain, then I am afraid you can not add a new theme there.
If you are using wordpress.com's subdomain - you still can change the theme but this is done in your admin panel and you can not have any custom theme - you can choose only from the offered list.
If you are talking about wordpress.com then you can not add any custom theme but if you are talking about custom domain then try the way as suggested by Abhik.