Installing Theme

Just download one from the internet (eg from http://themes.wordpress.net/ ) and upload the theme’s folder to wordpress\wp-content\themes

After doing this, you can change it in Adminpanel -> Presentation.

I am REALLY new at this uploading files etc ( never having used FTP before)
It sounds so simple , but when it says upload to wordpress\wp-content\themes, where do I find this to upload to?

I have been donwloading thru a zip file, then extracting.
then I am LOST!!
Sorry for this very basic question, but I just need help to get going.
Thank you so much for any help you can give.