Ok... Waht are "sd files" for you? For me sd files are...files that have been transfered onto SD card, nothing more
APK are Android package, in a certain way they are similar to instaler.exe on MS Windows, or .cab on WindowsMobile. In fact APKs are nothing more that modified zip archive with extention changed to apk (you can convice yourself by opening some apk with winrar or other archive manager) But apk have to be signed if you want to install them, that pretty much the only difference.
If you were not as lazy as you are you would have read this topic and know about apk installation on Android devices.
But: easiest way is you install from market Astro
, then with Astro browse to your SD card and lauche the apk, the internal package manager from Astrop will let you install your app (firste you have to accept installation from unknow source in your device Settings
Another way (I prefer this) is installing apk with adb (Android debug bride), you can find it on Android SDK (there is Windows, Mac & Linux version)
./adb install ./Download/MyApp.apk
use -r option to force reinstall if needed
If you get an error try:
(as root if you're runing linux
ADB can do a LOT more but that another topic