Installing manually via FTP
First go to the WordPress plugins repository at https://wordpress.org/plugins/ and search for Theme My Login. Then click on the Theme My Login link
Then when you're on the Theme My Login page, click on the download link.
Once you have the zip file, open it (typically by double clicking it) and inside you'll file a folder called theme-my-login. Use your favorite file transfer tool to copy that folder to your server, and place it in /wp-content/plugins/
Then go to the plugins page in your WordPress site and you should see Theme My Login in the plugin list. Click the Activate link and you'll be ready to use the plugin.