If you download a lot of apps for your HTC EVO 4G that aren't in Android Market and haven't already encountered the warning message you see on the right, then there's a good chance that you eventually will.
One day you'll see an .apk file somewhere, assume it'll download and install just like every other .apk you've clicked on from various places online, and then wonder why the file you want is being described as content that is not supported. Since the pop-up message says your EVO can't find any application to open the file you're trying to download, you may be tempted to tap the "Exit" button.
Do this instead:
1. Tap the "Download" button. When the file is downloaded, it'll show up without an Android thumbnail next to it in your download history.
2. Now go to Android Market and install ASTRO File Manager (more robust) or appInstaller.
3. Launch the app (whichever one you just installed).
4. The "unsupported" file you just downloaded will appear in the list.
5. Now just tap to install it.