Are you able to connect to the internet on the phone (either by GPRS or WiFi)?
If yes, following is the simplest way to install any application.
Click on Market. If its the first time you clicked, it will ask you for google account login & pass to sign in. Login and then search for your application. Click on the application and you will see a button called install. Click it, it will download & install the application. You will see an icon on the top while its downloading. Once installed it will give you a message that application is installed.
If you want to save your GPRS bandwith you can connect you phone via WiFi.
Then to install do as per the above instructions
or
goto
https://market.android.com/ in your computer. Then search for the application. Once in the application, you will see a button INSTALL on the top left. Click on that. It will ask you to login. Login with the same google account that you used to login in your phone. Since they are the same account so you phone is now linked to android market via that account. Then it will remotely install the application directly to your phone.
Application installation files are *.apk files. You can get them at places other than android market. Google for the apk files and download them if you don't want to go the android market route.
Transfer the files to your phone via USB. Then install a file manager like Astro File Manager from the market and use it to install the apk in a couple of clicks.
BTW when you install an application via market it also saves the apk files in your phone. You can also use them for backup.