Yeah, that's how you'd do it. Download it on your computer, then plug in your evo and put the file you downloaded onto the phone. When you do that, you're putting stuff, and taking stuff, onto the SD Card.
If you'd like, there's also videos all over YouTube that can visually show you how to do it. Be sure to look for videos that use the Evo 4G or similar HTC phones.
When we use the term "ROM" we are talking about the phone's OS (Operating System). Each ROM is a version of Android customized by the person who uploaded it. These customizations could be simple stuff like removing unnecessary apps and putting on custom skins (changing how the UI looks). These would be like most of your stock Sense ROMs. They can also be as complicated as changing how Android itself works by creating custom Kernels that will work completely different and allow the user the ability to do and control more (such as how fast your processor is while your screen is on, when it's off, and when it's charging or even controlling how much your battery charges). An example of this one would be your AOSP (created from scratch) ROMs such as CyanogenMod or Fresh. However! Custom Kernels aren't limited to just AOSP ROMs. You can also download a custom kernel for a Sense ROM that will allow you advanced control over the processor (and other things) which can potentially increase your battery life exponentially, or drain it in minutes.
In case you aren't sure what the difference between Sense and AOSP is:
Sense is the UI that HTC uses on their phones. They include widgets like that nice big clock, and others. In lots of places, people will refer to this Sense as Rosie and vice versa.
AOSP ROMs are as close as you can get to a vanilla (plain) Android experience. These will make your phone seem like having the Nexus One or Nexus S (although performance will be completely different).