1) Make sure they are compatible with your phone
2) Download jar file to desktop
3) Either connect you bb to your desktop or send it to yourself by email and save it on your Memory card
4) Go to media>explore then find your jar file and open it. It should bring you to a dowload screen.
Or if you want alx/cod files you can get the j2a-pro-convert-jar-cod-easily
from Brandon Swift. Well worth the 15$.
There are also some batch files you can create to convert the files but those can be somewhat of a headache.