I've explained this quite a few times in these forums. Here is one of them.
This one also has a tutorial on making .alx files if you don't have one
First extract your downloaded package then do as I explained in thread below.
for .alx/.cod files
1st Extract to a folder on you PC.
-Open Desktop Manager
-Click on application loader
-Under Add or Remove Programs click on start
-Under application list click "browse". Browse to where you extracted your alx/cod package
-Select the .alx file
-click ok >> next >> finish
App will be installed. Go into your phone and move the Icon (under downloads if you have no theme installed or straight on the app screen if you do) to what ever folder you want
for .jad/.cod packages
-Make sure Mass storage is enabled under options >> memory
-Connect your Phone to you PC using your USB cable.
-ignore the driver install window that may pop up (click cancel when able).
-Open My Computer (XP) or Computer (Vista)
-You'll notice your Blackberry will read like a usb Hard drive or Flash Disk. (files/folders on Micro sd
card will be displayed when you open it)
-Open it and copy the extracted package to any folder
-Disconnect your Blackberry from your PC.
-Open media on your blackberry device
-Push the menu button (the one left of the trackball/pad). Select Explore
-Browse to where you copied the .jad/.cod package (under media card)
-click on the .jad file (the one around 1 to 4 kb)
-Select download and the game will install