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There are many free Drupal themes for download on Drupal.org's theme pages.
To install a Drupal theme, navigate to your /sites/all directory and take a quick look at the README.txt file.
As of Drupal 5.3, it says:
This directory should be used to place downloaded and custom modules
and themes which are common to all sites. This will allow you to
more easily update Drupal core files. These modules and themes should
be placed in subdirectories called modules and themes as follows:sites/all/modules
sites/all/themes
If you haven't done so already, just create those two new folders inside /sites/all/ called modules and themes. You will then have two new folders located at /sites/all/modules/ and /sites/all/themes/.
All of your uploaded and custom themes and modules should go in those two new folders, and not in the same folders as Drupal's default themes and modules.
If you want to modify an existing Drupal default theme, copy it from /themes/ to /sites/all/themes/ and give it a new name. For example, to make a modified version of the Bluemarine theme, copy it from /themes/ to /sites/all/themes/ and rename it.
If you keep your modified modules and themes only in the /sites/all/ directory, it will be easier to keep track of your modifications.