In order to change your Magento theme, you need to find a new theme and download it. You can download new themes from:
How to upload a Magento theme?
Once you pick a theme and open its details page click on the Get Extension Key button, agree to the extension license agreement and click again on the same button. The extension key will be visualised. For the current example the extension key is: magento-core/Interface_Frontend_Default_Modern Select and copy it. Open the Magento Admin Area->System->Magento Connect->Magento Connect Manager. Enter again the admin login details and paste the extension key in the Paste extension key to install field. Click on the Install button.