First you need to download your favourite GDM theme from here in .tar.gz format.
To install GDM themes, goto System>Administration>Login Window
When it prompted enter your password, once login window opens you should see similar to the following screen here click on local tab .Now you can add your .tar.gz files for this click on Add
Once it opens file selection window select your GDM file click install (In this example i am installing Spring time GDM theme) or you just drag and drop your .tar.gz file into themes
Now you can see your newly installed theme under themes list select your new theme click close
You need to logout from your system to see your new GDM login theme