From Forum Nokia Wiki

There are lots of ways to install MIDlets on a mobile phone. You can use the InfraRed, Bluetooth, Serial or OTA to install jar/jad files.

Serial, Infrared and Bluetooth

Downloading jad/jar files from PC and transfering them to your device can be done via a serial cable, infrared link or bluetooth.

OTA Provisioning

The term Application Management Software (AMS) is generally used to describe the software components that take on the responsibility of locating MIDlet suites, how MIDlet suites will be installed on a cell phone or a PDA, and what facilities are to be provided to allow the user to select and launch an installed MIDlet or to remove MIDlet suites from the device.

With OTA provisioning, MIDlet suites are placed on web servers and provided hypertext links to them. A user activates the links to download the MIDlets to a cell phone via a WAP or Internet microbrowser.

Below are steps to install a MIDlet from a web server to a mobile device.

1. Open mobile WAP browser and type the server URL where the jad file is located.
2. Click OK to download it.
3. After download, click Install to install it on the mobile device.
4. After installation you can launch/run the Java ME application.