You download it, extract it to ~/.themes, and you can use ubuntu tweak tool to select the theme. I will guide you through it with the grayday theme you selected in gnome-look.org.

Just a warning, not all themes work nicely under unity.

1. Download grayday, and double-click it in nautilus to open it in the archive manager. You will see a folder called "GrayDay".




2. Drag that folder into your ~/.themes folder. This is in your home directory. You will have to click "show hidden files" (under view). If you still don't see it, you will have to make the directory in your home folder. Just click make new folder and call it .themes.




3. Download ubuntu tweak tool from here. http://ubuntu-tweak.com/
   Just double click the downloaded .deb file and you should be able to install it through the software-center.




4. Once you have it installed, open ubuntu tweak tool and go to "Tweaks" and click theme.




5. Select Grayday in GTK theme and Window theme.

It should work.