If you purchased your theme from pixelunion.net, you receive your theme as a .zip file. To add this to your Online Store, you need to upload the theme.
Upload your new theme
Once you've downloaded the theme file, go to your Shopify admin dashboard and navigate to Online Store > Themes. Then click Upload theme. Select your theme file from your computer and click Upload. Your new theme will show up below your current theme.
At this point, it is installed, but not published. When you're ready to unveil your new look to the world, click Publish theme.