Why and what would you need that for? Elgg installs everything you would need automaticly
The data directory is something you would need to create on your own before you start the installation on your server. Depending on what tool is offered by the hoster to manage your webspace there should be some filebrowser available to manage the files and directories of your webspace. You should be able to create the data directory with it. During installation you would need to provide the filesystem path on the server to the directory you've created.
If in doubt about what options you have to manage your webspace, ask the support of your hoster. They should know best what's available.
unzip the file containing the theme then drag and drop into the mods folder in your ftp, then after its finished uploading go to your elgg website then go to admin then plugins activate your theme then go to admin / dash board flush caches and click upgrade, make sure you upload the theme and not the folder of the theme and the theme folder basically 1 folder with the theme name eg: easy_theme
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