Are you using the hosting on VanillaForums.com? If you're trying to set up Vanilla 2 on your own hosting plan but can't follow any of the instructions, I strongly recommend signing up for VanillaForums.com instead. http://vanillaforums.com/
to change a theme, upload it to your themes folder on your site, then go into your admin panel and click themes on the left menu, click activate on the theme you want, if the theme doesnt change and your site still displays the old theme, go into plugins in the admin of your site and disable the cssthemes plugin and try activating the theme again, I'v notived problems with that plugin when trying to add new themes, thats probably the issue
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EDIT: Added link.