This is actually wordpress help, because it works the same on all themes:
1. Unpack the zip in its own folder (ex: desktop\Atahualpa\)
2. I assume you have a web hosting account where you already installed wordpress (if you didn't install wordpress, see this site: http://codex.wordpress.org/Installing_WordPress
- open your ftp client and connect to the web hosting
- Browse for wp themes folder: site-root/wp-content/themes/
- upload the theme folder from desktop into themes folder of your wordpress installation
3. Login into your Wordpress installation with the admin account and activate theme
- to do that, access yoursite.com/wp-admin/
- look in the left sidebar for Appearance/Themes
- In the theme list, you should see Atahualpa now: click on it, then in the right-up corner of the preview click the "activate theme" link.
Also, check WP Codex: http://codex.wordpress.org/Using_Themes
for detailed info.