First click on menu/settings/applications and make sure you have unknown sources checked on your phone. Then connect your phone to your PC using your USB cable. Now drag your "windowshade" down from the top of the phone. That is your notification bar actually! Tap on "USB connected" and it will ask if you want to mount your SD card. Click mount. Then you will see your SD card appear on your computer. Now just drag your new application from your PC to your SD card. I keep a folder on my SD card labeled "download" so I always know where everything is and it keeps my card tidy. (Once the application is installed on your phone you can delete the .apk from your download folder if you like.)
Once you have everything on your card, close the window, then repeat the steps to unmount your SD card. That is an important step!
Now, just make sure you have Astro file manager or an equivalent on your phone so you can navigate your SD card and install your third party apps.
By the way most apps you can get from Android Market just as easily and that way you will be able to get the automatic Market updates. If you install them this way, no updates. Just something to think about.