1. Access your Web server using an FTP client or Web server administration tools.

2. Create a folder for your specific theme under "wp-content/themes" folder within WordPress installation. For example:
<WordPressFolder>\wp-content\themes\<YourThemeName>

3. First unzip the theme downloaded from www.zerotemplates.com, then copy or upload theme files into the newly created <YourThemeName> folder.

4. Login to your WordPress administration panel and select Design -> Themes.

5. In the 'Available Themes' section click on your theme title or screenshot, then click the 'Activate Theme' link to activate it.

For more information please refer to the official WordPress documentation:
http://codex.wordpress.org/Using_Themes#Adding_New_Themes