There are several ways to install WordPress theme, we recommend using FTP but you can choose other ways. Please read more about WordPress theme installation on the official website: http://codex.wordpress.org/Using_Themes

Upload via FTP:

Step 1 – Please unzip the installable zip file that you’ve downloaded (oswald.zip). In case, if you downloaded the main zip file “Oswald WP.zip”, please unzip it and use the installable one located in the following folder “Theme(v…)” ;
Step 2 – Upload “oswald” theme folder to the theme directory (wp-content/themes/) of your WordPress via FTP;
Step 3 – Log into your WordPress dashboard and activate “oswald” theme in Appearance => Themes section;
Step 4 – After successful theme activation you will be automatically redirected to the Oswald WordPress theme options panel;
Step 5 – At the top of WordPress dashboard, you will see a message ‘This theme requires the following plugins…’,  please install and activate those plugins.