Changing from GD website builder to WordPress?? Problem.

Hello--I need clarification please. I understand I need to save everything, text, images, etc. However, I saw on one response to a similar inquiry that I will need to get my "theme and wp installation ready."  I am not sure what this entails. I have tried to DL a theme or two but cannot open them. I need to be able to "test" the theme I choose to be sure it can be customized for my needs (simple site) without taking my site down. I keep seeing that I have to open or upload/install my theme first.  How am I supposed to do that and where?