Versión en español: AQUÍ
How to Install Non-Market Apps on Your Android
What if the app isn’t in the Market?
iPhone users are out of luck (unless they JailBreak), but Android users can install any application that’s compatible with their phone, just by installing the .apk.
Android applications are packaged in .apk files (which are similar to Windows Mobile .cab files). If you have a web page that links to the .apk you can tap the link to download and install it (you can also install a .apk from your sdcard by browsing to and tapping on it using a file manager such as AndExplorer).
Since files distributed in this method have not been “blessed” by the keepers of the Market you will be presented with an “Install blocked” dialog box. You can Cancel, or continue by tapping the Settings button.
On the Application Settings screen you’ll see an item titled “Unknown sources” which allows you to install non-Market applications. If you’re still sure you want to do this, tap the checkbox.
At this point you’re given one my chance to back out. If you want to continue, read the dialog and tap OK.
You are now able to install non-Market apps, but the app you wanted to install hasn’t been installed yet. You’ll need to restart the installation process for that app, but it should succeed now.
Now that you can install whatever apps you want to, you might wonder where to get them.