First of all, you'll have to check if your phone is compatiable (the following are supported: 7250, 7250i, 5100, 6100, 6610, 6800,7210, 8910i).
Furthermore, your phone must have Bluetooth, infrared, or (you must have a) DKU-5 connectivity cable. If you want to use infrared, you must make sure your computer has a infrared port as well (infrared ports are more common among laptops than Pcs).
Next you'll need to download the pc suite. Once it's downloaded, click on the install icon, go through the Wizard (it's fairly straight-forward) and let it install. Leave all of the directories alone i.e. don't create a destination for it - leave it as the default one.
Once that is done, go to 'my computer' on your desktop (or start menu). Then open 'local disk' (C:). Then open the folder 'program files' and then 'nokia'. Then open 'Nokia Pc Suite 5'. Then drag 'shortcuts' on to your desktop (advisable not necessary). You might then want to drag 'Nokia Application Installer' (you'll find it in shortcuts) on to the desktop (as it's what you'll be using to transfer the files).
You finally have all the software needed!!!
Step 2: Transfering the files to your phone
Download the game you want to play and extract the files. One of the file icns should look like a mobile phone
Connect your phone to the pc using your method of choice (infrared, etc). Open 'Nokia Application Installer'. On the program, click on the button that looks like a laptop and mobile phone. Scroll down the list (if you have multiple phones connected) and select the phone you want to install it on to.
Then click on the button that looks like an open folder with a tag attached. Choose the file you want to install (it must end in .jad). Sometimes it will ask for a further file.... it will have a similar name and end in .jar. Both are needed but sometimes it asks for the second file (don't ask me why).
The application is installed and you can access it via your menu!!! You're finished!
If it says operation failed it might be because:
the file was designed for a specific phone,
you don't have enough memory on your phone,
the connection was interrupted,
or some other bullshit... stop asking me, I didn't write the program!
There is some cool software on the nokia pc suite in addition to the application installer. For instance, with the 'image converter', you can transfer photos or pictures from your computer to your phone. But I'll leave you to figure out how to use the various programs.