If you are thinking of installing an android application outside of Google Play, then following steps can help you:
1. Navigate to Menu >Settings > Applications and check “ Unknown Sources”
Note: once installation of your desired Android Application gets completed, you should un-check this feature again. Because this will increase your attack surface by allowing installation of non-market malicious applications.
2. Get the downloaded “.apk” file into your SD card and navigate to it by the file manager of your Phone.
If you don’t have file manager Application with your Phone, then you can ES File Explorer, or ASTRO File Manager or ICS File Explorer — Doggie.
3. Open your file manager application and navigation to the “.apk” file and click it. Select “Install” option to install it.