That's simple, because you can't. At&t only recently changed its standpoint on non market apps. Hopefully soon there will be an update reversing this. Until then I recommended sideload wonder machine to install non market apps. Do a search on the forum to find the download and instructions

 

I would revise that to read "I recommend rooting and enabling non market apps". Takes about 45 seconds and gives more opportunities to install apps that are not compatible with unrooted devices..."keep the lights on" is a good example

 

I don't like pushing root on new users, that is a decision they need to come to themselves.

 

Policy changed this week. Update is being silently pushed. Only problem is you won't be able to tell on the Captivate unless you try and download something. There will be no checkbox. Also only available on Froyo 2.2 enabled devices