When you have downloaded the theme do not open the file instead follow these steps to upload it to your account.
Click on Themes in your Shopify admin.Here you will see all themes installed to your account. At the top of the page click upload a theme
Select your zipped document and upload. Shopify will automatically extract the contents of this and correctly place them for you.
Once the theme has uploaded you can return to the Manage Themes page where you can begin working on your Theme in Preview mode or publish it to become the live theme on your site.