Using cable/bluetooth/IR, connect your phone to the PC Companion Software. Use the Explore Phone option to open folders, or you could just go through the My Computer to whichever drive your phone is now listed at.
Copy the jar and/or jad files onto the phone into a folder (doesn't really matter which folder - most people use the other folder or create a new one).
Disconnect the phone and go into the organiser/tools section (whichever section has the file manager). Go into the folder you've put your jad and/or jar files in and select the jad/jar file. This should install the game/app to your phone. Sometimes it gives a choice as to which area you want the game or app listed (games or applications). Games can be found via the multimedia/entertainment menus and the applications can be found via the organiser menu.
Once installed you can delete the jad and jar files to free up space (this may be handset dependent)
This method works fine for me on my c903 and w610i.