The User's Guide from HTC explains on page 64: Go to Settings - Applications and check the Unknown Sources checkbox. Respond Yes to the warning message. Then I went to the website and downloaded the apk file. Notifications showed the file. I just tapped on it and responded to the message about installing it. A couple of seconds later the program was running.
I realize this does not address situations where someone wants to do some hardcore rooting. But it does mean that non-market apps are not locked out from being used.