A theme in DNN can come in different flavors, and depending on which one you want to install, the procedure is a bit different.

Standard ZIP Extension Package

The most common format is the ZIP package containing the whole theme as an extension. You will usually get such packages from the store. To install it, use
install zip package.

Folder Containing Theme

Another common format is a folder containing a bunch of files. This may come from another site (where someone just copied the folder) or because the person creating the theme skipped the official export steps. To install it, use
install theme-folder.