A third party app for an android phone is an app that is from an unsecure source; or one that isn't endorsed by Google Android Market. Using these apps can be a little risky but as long as your phone is protected by an app such as Lookout, it shouldn't pose too much of a problem. It does mean going into menu settings and unchecking the only use known source box.
This website has a few third party app stores and info on how to use third party apps: heavenlyandroid.com/home.
Apks from sources other than the android market, you have to enable the "Unknown Sources" feature in the "Settings/Applications" menu. Otherwise, you will not be able to use any third party apps. For example, nothing from the Amazon app store can be installed without this setting.
Also, Dolphin Mini browser is great, lightweight, and allows direct installation of downloaded .apks.
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