The problem basically is that the auto-installers and updaters is the WordPress dashbaord presume a pre-defined FTP connection. They were designed for LAMP stacks that are inplemented on shared web hosting.
Is the XAMPP server a local machine???
DL the theme, expand it
Lets say the DL zip expands to a new folder called \mynewtheme
Now copy that output folder to the correct folder in XAMPP
This would where the folder for a default installed Wordpress install on a XAMMP for windows server.
so your theme will be in
If it is a remote XAMPP server
DL the theme
Expand the theme
Fire up FileZIlla
upload the output folder to \wordpress\wp-content\themes.