Simply go to:
Settings> Applications> Unknown Sources and “Tick” the box.
Applications should now install from sources other than the Android Market.
If you have downloaded an “APK” file from the internet place it on your devices SD card and then select it through your phone. The install process will start automatically once you’ve tapped the file.
This feature is put in place to protect you from potentially harmful Apps being installed on you phone. Always exercise common sense when installing Apps from an unknown source on you phone. If it’s too good to be true, well…..