Most of people know about how to install Apps from Android Market. But you can install non-market apps from SD Card.
1. You need to install "AppsInstaller" from Android Market. Please type its name in the search box, then you can find it.
2. Go to Settings -> Applications -> Checked "Unknon sources"
3. Connect your phone by USB and copy the ".apk" file to SD card.
4. Disconnect and open "AppsInstaller" (You must disconnect first, unless AppsInstaller can't find the ".apk").
5. Select the file and install it.