Here is one way (although there are a few other methods, this is one of the best ones):
1.Download Astro File Manager from the Market
2. Connect your phone to computer in disk drive mode (connect to USB cable, select Disk Drive from the options that appear on the phone, press Done)
3. Copy the APK file to the SD card (anywhere you like)
4. Disconnect phone from computer (remembering to Safely Eject first)
5.Open Astro and browse to the file
6. Select the file and choose the Open App Manager option
7. Press the Install button
8. If you get a message saying: “Install Blocked. For security, your phone is set to block installation of applications not sourced in Android Market”, go to Settings > Applications > check the box which says Unknown Sources
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