Hello Jeff,
You don’t need to unzip it. You can go to your WordPress Dashboard and upload the zip file directly from “Appearance => Themes => Add New => Uploads” and upload the zip file then install and active it.
After that you can go to “Appearance => Theme Options” to change the demo site content such as Featured Slider, Homepage Headline, Homepage Featured Content and more. See the detail theme instructions at http://catchthemes.com/theme-instructions/catch-kathmandu-pro/
Let me know if you have any further issues. When you post in your next question, please post in your site URL as well. It will be easy for us to check in.