A theme is a pre-designed layout. Drupal Cloud offers a number of themes. The default site theme is MIT Adaptive. Other themes are available to use as well. The process of choosing another theme is explained in the FAQ How do I choose a default theme?
You will work with two themes. The first is the site theme which affects what users see. The other is the administrative theme which determines what your overlay screen look like when you are making changes.
Once a theme is chosen it is easily modified through the Appearance overlay. In addition to fonts, colors and other design elements, themes control the page layout through regions and blocks.