Since WordPress.com does not support the installation of external themes, WordPress.com users are unable to install themes via this service. More information on the difference between WordPress.com and self-hosting can be found here:
If you still would like your purchased theme installed, you will need to purchase separate hosting so that our provider can install the WordPress CMS and your theme. You can see a number of recommended hosts, here: http://themeforest.net/get_hosting
Purchasing external hosting will still allow you to keep your chosen URL.