Can anyone give me a little walk through of how to use one of the themes in the theme directory of wordpress? I do not know how to take the theme and upload it to my blog.

Are you self hosted or hosted through wordpress?

in your dashboard, 'Appearance'->'Themes', select your theme and then active it. (the active link is in the upper right)

1. You need to download the new theme
2. Upload the folder contents to wp-content/themes
3. Log into wordpress and select the design tab on the left hand navigation.
4. You should see a thumbnail of the new design in there click the image
5. Large image will appear in a black box with an "X" to close the window on the top left hand side, and Activate"design name" on the top right hand side. Click the "activate to change the theme" button.

and that's it theme changed