We've always been able to install Android Package (APK) files obtained outside of Android Market on the HTC EVO, but sometimes certain installations require the use of a file manager. Whether the files are downloaded directly to your EVO or manually transferred onto the phone's microSD card through a computer connection, installation requires a fair amount of screen taps.
I usually download .apk files directly on my EVO, but when I use a computer instead, I like to email the files to myself to remain as free from wires as possible. Then I just retrieve the email on my phone, download the attachment, and proceed with the "file manager installation" process. It isn't difficult or complicated to do, but I stumbled upon a nice little surprise in the native Froyo Gmail app that makes the "old method" seem rather clunky.
Gmail now recognizes .apk attachments and lets you install them directly from the email with a new one-click "Install" button!
In Android 2.1, Gmail would give you a preview option that would occasionally let you download the file, sometimes result in parsing errors, and rarely install the app. The Mail app was more reliable than Gmail in dealing with .apk files, but you still had to save the attachment to the microSD card and use a file manager to install it. This is still the case with Mail in Froyo, but it's definitely not how it is in Gmail anymore. Nice!