Ok, that's good. Let me make sure you're following the steps:
You connect to Desktop Manager and then double click the Application Loader icon in the Desktop Manager window - correct?
At that time, it confirms your PIN number in a new window - correct?
A new window opens showing all of the applications that can be installed on your Blackberry - a list with boxes that you can check and uncheck - correct?
No longer a BES Admin, but it was fun while it lasted!