Install a Drupal theme using Composer with a command like composer require drupal/themename. This downloads the theme into your project in the correct location.
Once the files are in place, log into your Drupal admin area, navigate to Appearance, find the theme in the list, and click Install and set as default. You can also install themes via Drush with drush theme:enable themename.
Custom themes you build yourself should live in the themes/custom directory within your Drupal project. They are enabled the same way as contrib themes. Avoid downloading themes manually from external sites and dropping them into your codebase. Composer is the modern standard and keeps your project maintainable over time.