How do I add Third Party Applications to my BB?

From BlackBerryFAQ

Add an application - OTA

Over The Air

1. On a web page, highlight a link for an application.

2. Press the Menu key.

3. Click Download.

4. Click OK.

Add an Application - DM

Desktop Manager

1) Connect your device to your computer.

2) Open the BlackBerry Desktop Manager.

3) Double-click Application Loader.

Click Next.

4) If required, perform the following actions:

a) If the Device Security Password dialog box appears, type your device password. Click Next.

b) If the Communication Port Selection dialog box appears, specify a communications port. Click Next.

Click Next.

5) Perform any of the following actions:

a) To add an application that appears in the list to your device, select the check box beside the application.

b) To add an application that does not appear in the list, click Add. Double-click the application loader .alx or .ali file.

Click Next.

Click Finish.

Thanks to johnling @ BlackBerryForums.com for contributing to this FAQ