Blog themes are the "skin" or visual style to your blog. When you change your blog's theme it generally does not change any of your blog's functions. You still have your basic posts, pages and widgets. Usually a theme package will change the way your header, footer and font colors look. Again, it changes the way they look not the way they function.
Most blog hosts will have a variety of standard theme you can choose from. You can also search on the internet for free or paid themes if you want to get fancier. Be sure you to check if the third party source is credible. You don't want to permanently mess up your blog by adding a virus-ridden theme.