Welcome to the forums, Grampy.
Along with Desktop Manager, you also need to have the OS for your BB installed on your PC. Once you have that, you connect your BB to your PC, start DM, launch the Application Loader, click the Add button, navigate to the unzipped file and then Next/Finish.
Or you can download BBWeather from this link (use your BB browser to go to this page), right over the air:
http://blackberrytools.sourceforge.n.../BBWeather.jad