There are SO MANY repeat questions about how to install themes/programs via OTA links that I wanted to post a little walkthrough. I was surprised not to find anything like this already when I searched the forums.
So here it goes......
OTA = Over The Air
Because it's Over The Air,
do not use Desktop Manager as it will not recognize .jad files (the filetype of OTA links). Do not download the file, do not try to run the file on your computer, and do not think about using a USB cable for these files!
Instead, you need to somehow access the file
directly from your blackberry! There are multiple ways to do this:
1) Browse to the website
using your blackberry browser, find the link, and click it.
-or-
2) Right click the link (from your computer), go to "Copy Shortcut." Now compose a new email on your computer, pasting the "shortcut" into the body of your message. Email your blackberry the link and click the link once it is on your blackberry.
-or-
3) Put your computer mouse over the OTA link. The web address to the .jad file will show up near the bottom left of internet explorer. Go to your blackberry and type this address into your blackberry browser's address bar. Press enter.
Once you do any of the above 3 steps, follow the prompts on your blackberry to Download and install the theme/program.
There you go! Easy and fast

Please add to this if you have other/better ways to describe the correct steps to take so that new users can figure this out.