To Install .apk files you have to download: Apk Installer

Apk Installer allows to install a non-Market application.
P.S.: Don't forget to allow the installation of non-market apps in the system settings.

To install non-Market applications, you have to permit unknown sources in your settings of your android device. Please launch the device setting by selecting "Settings" from the application menu, and select "Applications". You will see a "Unknown sources" checkbox. Check it, then press BACK to exit.

Launch the Apk Installer, you will see directories and .apk files on your SD card. Now you can pick a directory to look inside it, or pick an .apk file to install it.