Now which version of Magento are you using? I suspect you’re using 1.4.2 because of the error you’ve posted. I suggest starting with 126.96.36.199 for now as many themes and extensions are not compatible with newer versions (and never use a beta version!).
To add extensions to Magento, you can use the extension key given on MagentoConnect here http://www.magentocommerce.com/magento-connect, or you’ll need to follow the instructions given by the extension provider. Usually it involves renaming folders in the downloaded extension package to match your theme’s folder structure and then using FTP to upload files to your Magento installation folder, just like HT themes!