You'll need to do this on your server with an FTP program or with your server side file management software.
As for the actual technique, I would *really* not recommend doing this as a way to protect files from updates. When updates occur they are fixing bugs or adding new features. If you prevent a file from being updated it could break the theme that is expecting a change in the function of that file.
The recommended method if you are worried about this is to look at the change log for every update and then only update those files that are mentioned in the version.rtf that is inside the main package you download from Themeforest. If you are replacing a file you have made changes on, save a backup of that file and then compare the changes and re-add your modification.