Place your custom or downloaded theme folders at:-
sites/{sitename}/themes/{themename} folder
e.g download acquia_marina theme from http://drupal.org/project/acquia_marina and place it at:-
/sites/all/themes/acquia_marina
configure it from
After placing module folder in your modules directory you can see and configure it from
http://localhost/admin/build/themes
you can check new module and enable it from this above admin link.
More Info:-
http://drupal.org/node/120641