You downloaded it straight to your phone?
I just d/l to my laptop, plugged in the phone, dragged the zip to my phone. Unplugged, then turned the phone off. Then held Volume Up + End button. Installed zip from SD, selected the zip, then let it do it's thing. I'm no expert though, just trying to help. Good luck, let us know if it gets to working.

 

Yeah, I mean, you may be able to do it from your phone, but I just know I've done it several times the other way. Lol, I don't know how many roms I got saved on my laptop now.

 

If you downloaded it from your phone's browser (best way, imo. Less that can go wrong in the process), it will be in your downloads folder on your sd card. You'll need to just go into Astro or eStrongs and move it up one folder to the "root"/main level of your sd card. Boot into recovery, nandroid backup, factory and dalvik wipe and flash the rom.

 

Use a file manager like astro to access your sd card. Open astro and go to Downloads. Long press kaosfroyov27.zip, select move. Go to the root of our sd card, press menu>edit>paste.
Boot into recovery, wipe data/factory reset, wipe dalvik cache.
Go back to main menu, flash zip from sd card, select kaosfroyo.
It might take a while to boot.

 

find wherever you have it installed (through astro or w/e file manager you are using), click on the apk, and install

then, go into settings, keyboard types, select swype,
then on an input field, hold down and select input method, then select swype