There are several ways to install apps or games from apk files on your android phone. Before you start make sure install from Unknown Sources option is checked

Modify your Android’s settings to allow the installation of applications from other sources,

go to Settings –> Applications –> check option for Unknown Sources

Using Apps Installer application

AppsInstaller
  1. Copy the APK file to your SD Card.
  2. Download and install the Apps Installer application from the Android Market
  3. Once installed, the Apps Installer will display the APK files on the memory card.
  4. Click and install your APK files.

Using File Manager

ASTRO File Manager

Install a file manager app from market and then browse to the APK and install it.

Using DropBox

Dropbox

You could use the DropBox or Awesome Drop apps to transfer the APK file wirelessly.

Using Email

You could also e-mail the APK file to the e-mail account on your Android phone. Open the attachment and it should prompt the install process.