You can't download apps from googles market to your PC. You can with markets like Android pit, though. Once you have downloaded them, you'll need to transfer them to your SD card of your phone. The easiest way is probably to connect your phone to your pc with a usb cable. Then there should be an option to view your SD card as a drive on your pc, or you may need the sync software from your phones manufacturer to transfer them.
Once you have the .apk on your phone you'll need to allow installing from unknown sources. On your phone go to settings, applications, and check Allow Unknown Sources.
Then if your phone has a file manager, use it to go to the folder on your SD card that you copied the apps to. You may need to download a file manager, like Astro File Manager from the market.
You should be able to tap the .apk file of the app in the file manager and it should give you the option to install, or open it with the package manager to install it.
— modified on Mar 6, 2011, 10:52:10 PM