You can download and unpack the theme manually from Github but it’s easier to use git to clone the repo.
From the root of your site:
$ git clone https://github.com/zzossig/hugo-theme-zzo.git themes/zzo
If you use git to version control your site, highly recommended, it’s best to add the zzo theme as a submodule.
From the root of your site:
git submodule add https://github.com/zzossig/hugo-theme-zzo.git themes/zzo
Updating
From the root of your site:
git submodule update --remote --merge
Run example site
From the root of themes/zzo/exampleSite:
hugo server --themesDir ../..