Any theme or application that installs through Desktop Manager needs a .cod (the actual program) and an .alx (file that tells DM to install the .cod.) You download the file that contains the .alx and .cod for any given app (or theme) into a folder. Put them in a folder that you aren't going to delete. Then use the "add" feature in DM to browse to the .alx file for the app you want to install. Then it will load that app into DM with a checkbox in the list of software. Finish the process to load the app onto the BB.
If you don't have internet then this is the only way to install applications on your BB. Many apps only have OTA install capabilities. OTA installs are .jad and .jar and won't load from the DM.