With WordPress installed on your hosting (or with your WordPress account set up at wordpress.com) the next step in creating your site is to select a theme. The theme in WordPress is basically a template for how all the pages on your site will look. Like everything else after you have actually installed WordPress the installation and customising of your theme can be done entirely from within WordPress itself.
WordPress will have at least one theme already installed (and which a lot of people use simply because it is there) but there are literally thousands of others that have already been written to choose from. When you first install WordPress the dashboard will display a number of links to take you through the process of setting up your site and the first step that this links to is the page where you select the theme. Don't worry if you have gone past that point in the process and no longer have the set up options listed on the dashboard because you can change your theme at any time in WordPress simply by selecting the "Appearance" tab at the left of the dashboard. The first option there is "Themes".
You can switch between the themes already installed simply by clicking on the "Activate" link under the theme you want. The theme options and Editor options allow you to update the theme so if you find a theme that almost does what you want you can tweak it to your exact requirements.
The "Install Themes" tag is where you go if you want to search for a new theme to use for your site that isn't currently installed. This provides several different ways to actually find a new theme for your site.
Each of the potential themes that are listed will have an image to give you an idea of what the theme looks like with three links underneath. The "Install Now" link does exactly what it says and will install the theme onto your site as an available theme. The "Preview" and "Details" options provide you with more information about the theme and how it looks to help you to choose the theme you want.
Once you have installed a theme the theme will appear in the list of Available Themes on the "Manage Themes" tab. Here the "Preview" link is replaced with "Live Preview" where the theme will display your actual data rather than the sample data that you get when previewing themes you haven't installed. The "Install Now" link is replaced by an "Activate" link which you can use to tell WordPress that this is the theme you want it to use to display the live site. Each of the Available Themes also has a "Delete" link to allow you to remove that theme from your site.
Note that your site only uses the active theme so leaving additional installed themes here uses more space on your hosting but doesn't affect the operation of your site.
Each theme will have a number of menu options that it makes available for customising the theme. The "Widgets" and "Menus" options are common to all the themes and so the menus and widgets you attach into your page will still be attached if you switch themes but their appearance and location may be different.
The "Editor" provides you with access to actually edit the actual files that define the theme and so you should only do this if you are familiar with CSS, HTML and PHP. If you do decide to edit the theme files then you should probably consider either creating a copy of the theme or setting up a child theme so as to retain a copy of the original.