PSD files are typically included with premium themes as an extra to allow you to customize the image assets. You have to open those files in Photoshop, edit them, and export new versions to replace the png, gif, or jpg assets that came with the theme. There’s nothing in WordPress core that deals with PSD files, and the specific details of how the PSD files map to the assets in your theme are specific to that theme. If explicit instructions for what to do with them did not come with your theme, that’s a question you’ll have to ask whomever developed your theme.
