Installing apps on Android is relatively simple with the Android Market. Search for an app, select it and click "install". However, there are occasions where you may want to install a newly-released app or an app that is not available in the Android Market. In these cases you have to manually download and install an .apk file. An .apk file behaves in similar manner as an ".exe" file on Windows, you need to copy it to your device and run it. Here are some ways that you can manually install an application without going through the market.
Before operating a manual installation of apps using the .apk files, you need to allow your phone to install from “Unknown Sources” (i.e. non-Market apps)at first.
To do it, find Menu -> Settings ->Security and check the box marked "Unknown Sources".
The Conventional Method to Install APP
Install File Manager
Android cannot browse the data on your SD card spontaneously, so you need a file manager from a market to work it out. There are a variety of file managers available on Android, but my favorite is ASTRO File Manager.
Copy .apk file to SD card
Once you have ASTRO File Manager installed, connect your Android device to a PC via USB cable. Mount the SD card and put in the .apk file you would like to install.
On your Android device, use ASTRO File Manager to search for the .apk file and select it.
Here will come out a dialog box allowing you to install the app. Select "Open App Manager".
On the next two pages, select "Install" twice to install the .apk. When all are done, the installing is finnished.