When you download a BlackBerry application to your computer, it will typically come in one of two forms - a Zip file or an EXE.
If it's a Zip file, extract it to an empty folder, and there should be an file ending in .ALX there. If there isn't, there's something wrong.
An EXE will either be a self extracting Zip file (in which case you do essentially the same thing as above), or it will be an installer which will create a directory with the ALX file in it.
Then when you click ADD in Application Loader, browse to the folder with the ALX file.
If you find a program and it has a .JAD or .JAR file to download it, this is an OTA or Over The Air installation. You need to browse to the page with the link to the file on your BlackBerry, and click on the link to the .JAD or .JAR file, at which point a Download screen will come up and you click the Download button. Once the file has downloaded, it will be installed, and you'll be prompted when that operation is finished.
The link in my signature has mostly OTA programs - most come in this format now, and I use nearly none that require the Application Loader. That thread via WAP is: http://wap.blackberryforums.com/GetThread.php?t=61499&f=14&bat=
Browse to that link on your BlackBerry, and install to your heart's content!