Hi dohertym. Don't feel bad if this is all a bit confusing, as there's a lot to take in here. Were you planning to use a free wordpress.com site, or do you want to set up your own version of WordPress on your own domain? If the latter, you can download the WordPress files from wordpress.org and either get a domain and hosting and install them there, or you can actually do this on your own computer for testing purposes. If testing on your own computer, you need to set up a virtual web server on your computer, which is quite easy if you use something like XAMPP (for Windows) or MAMP (for Mac). But the easier route is probably to get your hosting set up first, then install WordPress, then install your new theme.
There are lots of instructions for doing all this on the Wordpress.org site.