This video walks through the new interface in Drupal 7 for enabling themes, setting them to be the default, and configuring the administration theme. It also walks through the process of downloading a contributed theme, and where to store it. Finally, it walks through the theme settings pages that provide a user interface for turning on and off specific options for a theme.
Check your version
This video covers a topic in Drupal 7 which may or may not be the version you're using. We're keeping this tutorial online as a courtesy to users of Drupal 7, but we consider it archived.