Copy the file to the SD card and then use a program like Astro File Manager to browse to that folder and then run it directly from there. You will get a security warning, so you will have to uncheck the box that says to only run apps downloaded from the app store.
If you need to uninstall the program, go to Settings|Applications|Manage Applications and uninstall from there.
If you don't want to install another app just so you can install off-Market apps, just copy the APK file to the downloads folder on the memory card, open your browser, select Menu -> More -> Downloads, and select the APK file.
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