You need to create it.
Right click an open area in the Home Folder and create a new folder. Name it .themes
Then extract your .zip or .tar.gz into it.
Some themes come as a Master Set which is a master folder containing the individual theme folders. In that case, you must extract the Master folder, then move the theme folders within the master folder into ~/.themes.
You can also place them into home/.local/share/themes.
Then a folder with all the theme files in it. Be sure that under that folder directly must be the index.theme file.