plug your phone into your computer via usb, transfer the file to your sd card. disconnect from computer.
you can use a file manager (your phone should come with one, probably not a very good one, i downloaded astro free from the market) and search for the .apk file your copied to your sd card. astro will allow you to do a search for it.
then, just install the application. it should give an option to, once you find and click the file
