Well depending on what kind of app it is:
App Store - Just download and install via iTunes, do all the syncing and everything there.
Web App - Generally this will be a URL ( i.e.
http://mobile.sciphone.net ) once you get to the main pages of those apps, you want to add them to your homescreen by saving it as a favorite on your phone. This way you have a nice quick icon you and press to go directly to the app.
Others - These include jailbreak apps and other 3rd party apps that require you to unlock / jailbreak your phone, we try to stray away from these as the two other sources listed above happen to offer more.
Hope that helps,
- Sunny