If you find a theme called “Awesome Blog”, and you download it and it creates a directory called awesome-blog, then you need put that directory in the Hugo site theme directory.
If your site is at C:\Hugo\sites\example, the theme should be at C:\Hugo\sites\example\themes\awesome-blog.
Then in your config.toml, you set theme with theme = "awesome-blog".
Then it should work when you run hugo or hugo server.