did you do
Settings>applications>unknown sources and make sure its checked?
then if its its checked just use file explorer go to the app and try and download it?
I'm all of two days into Android with my nifty Optimus S. When I download an apk I bring down the notification bar. If I tap on the notification of "apk downloaded" it gives me a window to install it. I also have "Unknown sources" checked in Application settings.