If you are on AT&T, then you simply can't without rooting. Otherwise, do the following:
Go to Settings | Applications and check the box next to "Unkown Sources".
Next, download the app ASTRO File Manager from the Market (Free or paid, doesn't matter).
Lastly, plug your phone into your computer via USB and make sure it is set to File Transfer Mode. This should allow you to open the phones drive from your computer and move files onto and from the phone. After the file is on the phone, re-mount the SD Card on your phone (Unplug the USB usually does this automatically) and then open ASTRO. Locate the file on the SDCARD and select Open App Manager. Click install and follow the prompts. That's it!