Run Nokia’s OVI Suite to connect your phone to your computer
e.g. Start / Programs / Nokia / Nokia Ovi Suite
Open a file window showing the downloaded .wgz file.
I use: hold down the Windows key and press E
You can also get this by clicking “My Documents” or similar.
Make sure you move to the folder with the .wgz file so you can see it.
Have both Ovi and the .wgz file displayed.
This involves shrinking each window enough so that both fit on the screen.
Connect your phone to the computer.
Ovi supports Bluetooth and USB.
My computer doesn’t come with blue tooth but the phone did come with a USB cable so I use that.
After a while a picture of your phone will appear in Ovi.
Give it a little longer to settle down, then
Drag the .wgz file over the top of the picture of your phone in Ovi.
Follow the instructions on your computer and your phone.
These will say things like press OK to install.
I found my new application in Menu / Applications / Install. apps. on a Nokia 5230 phone.
You can then move it to wherever you want in the menu structure.
Problems
If you don’t have Nokia Ovi Suite
You can download it free from Nokia’s website.
I used www.nokia.com.au/support/download-software/nokia-ovi-suite
If that doesn’t work for you and you can’t find it anywhere obvious, try google-ing download nokia ovi suite.