There is no difference between installing themes and plugins in elgg since themes are plugins. Both elgg themes and plugins are located in mod directory. To install elgg theme or plugin you need to download and copy plugin to elgg mod directory. Best place for finding elgg plugins is official community website.

http://community.elgg.org/plugins

Plugins are packed in archive files in zip or other formats, so you need good archiver like 7zip for example to extract plugin.

http://www.7-zip.org/download.html

After extracting, copy plugin to mod directory located inside elgg installation directory.

Now go to admin area and enable plugin. New plugin should be on the end of the plugins list.

yourwebsite.com/admin/plugins

Tips:

Often you need to download plugins from github.com to get latest version of code. When you extract plugin downloaded from github you'll get directory with "master" in name, that is not part of real plugin name and you should rename directory to remove "master" part. For example elggtheme-master should be renamed to elggteme.