Extract the zipped package downloaded from ThemeForest to your desktop, in the extracted package you will find the sidewalk.zip file which is installable WordPress theme.
You can install the theme in two different ways:
1. WordPress theme uploader
Navigate to Appearance -> Themes page to access the theme uploader screen and use the sidewalk.zip file.
2. FTP
Extract the sidewalk.zip file and upload the extracted sidewalk folder to /wp-content/themes/ folder on your server. You will have to use some FTP software, like FileZilla.
After uploading the theme, you have to activate it. Navigate to Appearance -> Themes page to activate the theme.
Watch the complete process in this short video: