To change theme of Magento you need to login to your admin panel.There is two way to change it
1) Go to
System->Design .Click on
Add Design Change ,there from Custom Design click on the
DropDown to select your Design , then save it to change your theme

2) Go to
System->Configuration then click on
Design,there from
Themes Tab you can change your theme.Write your theme name in
Templates and
Skin (Images / CSS) Field. then click on save Config to save your theme.
If you don't know you theme name then it is beter to choose First
option,Because it is much easier than the second one.One more thing that
if you have two store and you want to make 2 different Theme for that
two store than you have to follow the first process.