You can download the .apk file to your desktop PC. After this, mount the SD card to desktop and drop the .apk file in the root folder on the card. Download and install 'Apps installer' from the market. Then run 'Apps Installer' and select the .apk from the list of files.
Also, you might need to check the box next to 'unknown sources' in Settings > Applications.
(thanks to Swizz and andonnguyen)
from the Android FAQ.