There are actually two different types of WordPress installs. The first one is through WordPress.com. They use their own services to offer WordPress hosting.
The ProPhoto theme DOES NOT support WordPress.com and is a self hosted WordPress theme only. Meaning, you’ll need to have your own host through someone like Flywheel or Dreamhost for ProPhoto to work. Hosts today have modern, simple ways of installing WordPress, usually in just a couple of clicks.