The simplest and safest way to install an app is through the Play Store. Then you don't need to worry about installing from sd, as it installs directly to the device.
If for some reason you can't use that, then alternatives are Amazon (but only in a few countries), AppBrain (which can install from them or via the Play Store), GetJar or SlideME. That last one does just download apks, which you can copy to your SD card and install using a file manager.
You need to enable installation from unknown sources in the phone's security settings in order to use anything other than the Play Store.
There are many other app download sites out there, but I'd advise caution, as dodgy download sites are the main source of malware.