When developing apps you will not only want to test them against the Eclipse AVDs but also install them on an actual device.
To do so, set up an HTTP server (here is a link to another article on how to set up a quick and dirty HTTP server) and put you .apk file somewhere where you can get to it from your local network.
Make sure that you check the ‘Unknown sources’ setting that will enable you to install applications that are of non-Market origin.
Then just open a browser on your Android device and download the .apk file. Once done, when you attempt to open the .apk file the device will ask you if you want to install it.