I have Unknown Sources enabled on my phone, now what? Along the same lines as this question. What's so special about enabling Unknown Sources, and what are some things that I should do once it's enabled?
This allows you to obtain and run an application (i.e. the .apk file) from sources other than the Android Market. (i.e. you get it from a download from a developer's site, from an email, etc.). That's it.

Edit: 
Once you enable Unknown Sources this post covers the rest: How can I install an app given only its APK file?.