This error message will show up if you tried to manually install a theme after downloading a zip file that is not an official theme file. Sometimes when you get a theme from a theme shop online, the zip file may include other files and must be unzipped first.
If this happens to you, make sure that when using the theme installer, you are uploading a theme zip file. Also make sure that the downloaded file is the actual theme and not a zip package that contains other files; including the theme zip. In this case, you will need to unzip the file first to your desktop.