Yes, first if you have upload the ELGG with FTP or with XAMPP(local) you can now download plugins there: http://community.elgg.org/pg/plugins/all/

Then you choose a plugin, download it, extract the folder and put the folder with the name of your plugin into the folder "mod" in your ELGG folders...

You can modify or ENABLE the plugin you have put in ELGG by going in ADMINISTRATION-TOOL ADMINISTRATION(there are all plugin in you have in your ELGG)...

If you download a theme, you don't have only to ENABLE it when you upload it, but YOU HAVE TO PUT THIS PLUGIN(in administration-tool administration) in top Of the list of your plugins!...