You cannot install a JAR created by the MDS Studio or the Visual Studio Plugin directly on a BlackBerry. This means that an alx file via the desktop manager or any other fashion.
You "MUST" publish the application to a BlackBerry Enterprise Server and download the application to the device from there. You must search for your application using the MDS control center application or have the application pushed to the device from the BES.
Here is a post that might help you out push application to the Blackberry