It's really easy. Just go into your security setting and enable "unknown source." Then go to the website that has the app you want to install, click on download (or install), and it will download to your device. You should see an icon appear at the top of your screen in the notification bar. Pull down the notification bar at the top, click on the APK file, and it should install normally.
I would only leave the setting on for "unknown apps" while actually sideloading an APK, by the way.