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Every app is an .apk file.

Consequences? You mean downloading them from sources other than the market? That's up to you to decide if you trust the sources or not.

You should be able to download them right from your browser, then install them when they're done.

If you download them on your computer and load them onto your SD card, then you'll need a file manager such as ASTRO to install.

And of course, you need to have 'non market sources' checked in your settings, applications, to allow these to install.
 
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