The jad file is used to download and install a application wirelessly (known as OTA - Over-The-Air ).

The ali and alx is used to install via Desktop Manager. The ali(Application Loader Information) is for older devices and the alx (Application Loader XML) is for newer java devices.

To load OTA - point your web browser to the jad file and follow the instructions.
To load via Desktop Manager open the alx file.