That too has been answered on this forum thousands of times: You have too choices.
*.jad files can be downloaded directly to your BB via the browser. They will auto-install as you answer the prompts give to you.
*.cod/alx files install from your PC. Download the "zip" file and decompress to your PC remembering which folder you downloaded to. From there, open Desktop Manager on our PC > Application Loader > and if you don't get prompted automatically to load that application, click on ADD and find where you decomprssed the *.cod/alx files. Find the ALX file and continue with the prompts.