There are three ways to add applications:
1 - download them through the BlackBerry App World - if you don't have that installed, open the BlackBerry Browser and go to BlackBerry Wallpapers, Ringtones, and More
and download it.
2 - download the application Over The Air (OTA), wireless. You have got to make sure you are downloading the right version of the applications for your model BlackBerry.
3 - through Desktop Manager. You download the application to your PC, and then load it to your BB through the Application Loader within Desktop Manager.
OTA is generally the easiest.
Again, make sure you are downloading the version of the app for the the device you have.