Ok. Was it a zip file you downloaded? If so you either need to double click it or right click on it to extract the .alx file.
Now plug your BB into the pc via usb, Open desktop manager (this is on the CD that came with your BB ) click on application loader, select add. Now find and click on the alx file you extracted. This puts the alx file into the loader, click next (then next again I think) then select finish when prompted. The application should now be on your device.
If it was a jad or jar file these are over the air applications where you usually download them via the BB by clicking on the link from your browser. There is a way to put these jad and jar files onto your device and install them from there but I am not familiar with this process so maybe someone else can help with that if it is these files that you have on your BB.
I was just on flightplanner.com and could not find anything to download to use on the blackberry, where did you find it?
I can open fltplanner.com in my web browser and use it but no stand alone app or short cut.
I have a Verizon 8330 Curve if that makes a difference.