You can navigate the web and download it directly to your phone. If you want to move it around on the phone, download a file manager. I'm partial to Astro File manager...its free in the market.
If you want to do it from your PC... don't forget connect the phone via USB, then go onto the phone, swipe the notifications bar down, and then press on the USB message, and select "Mount". That will make the phone show up as an external storage device on your computer.
I was just playing with ASTRO and moving files isn't really intuitive. Here is how you do it. Open Astro, find the file you want to move. Long press that file. Select "Edit". Select "Move". Now... navigate to the folder you would like to place the file into. Once there, click "Edit" on the top. Then click "Paste". Your file should then be pasted into your new folder.
Just keep pressing "up" in the astro navigation. When it won't go up any more you should see the SD folder. When you locate the file, don't bother moving it. Just click on it and install it from where it's at.