First, go into settings, then Applications, and make sure the "Unknown Sources" check box is checked... Otherwise the phone won't let you install apps from anywhere except the android market...
Download a File Manager, like Linda File Manager or Astro File Manager from the Android market (They are free) and install one of them.
Hook your phone up to your computer, you will get a "USB Connected" notification on the bar at the top, pull down the notification window and tell it to mount the SD card.
Your phone's SD card will then show up on your computer as another hard drive, just like a USB Thumb drive would.
You can then open the drive and copy your .apk files to the SD card... I suggest you create a folder called downloads or something on the SD card and put your apps in there, so that you don't clutter up the base directory...
after the files have transferred, pull down the notification window and tell it to unmount the SD card. Wait for it to complete.
You can then open up Linda File Manager, go to the SD card, downloads and simply click on the application you wish to install.
One the application is installed, you can delete the .apk file you transferred from your computer - it is not needed any longer, unless you wish to re-install - I'd recommend just keeping them on your PC so they aren't taking up room on your Droid.
