Download and execute the Thea for Rhino installer from the following link:
Make sure you have administrator rights while installing the plug‐in; right‐click the installer file and select 'Run as Administrator'. In the next screen, 'Choose Data Location' you can select the place on your hard disk where you want all this data to be saved. After this step, the Rhino Installer will begin installing Thea for Rhino. When the installation is complete, click the 'Close' button and you are ready.

When installing Thea for Rhino you will be asked to set the path of the Thea Data and Thea Temporary folders to a location where every user has full read/write access. If the path doesn't have proper permissions, the plugin will not work properly.