Windows and Android: While most Android phones will let you install apps from places other than the Android Market, some phones don't. With Android Injector, though, you can install those apps right from your computer, no rooting required.
To check if your phone allows non-Market apps, head to Settings > Applications and look for a checkbox called "Unknown Sources". If you don't have it, your carrier's made it a bit more difficult for you to install apps like the Grooveshark app. If you don't want to root your phone, Android Injector makes it easy to install these non-Market apps on your phone.
Just install it on your PC, along with the drivers for your specific phone (you can find these at your manufacturer's website, e.g. HTC.com or Motorola.com). You'll also, obviously, want to download the .apk file of the app you want to install. Once you've got everything together, just plug in your phone via USB, fire up Android Injector, and hit "Select Files". Navigate to that .apk file you want to install, hit "Install to Device", and you should see the app pop up on your phone in a few seconds. It couldn't be simpler.
Android Injector is a free download for Windows systems. Note that you'll need an account on XDA Developers to download the file, but as we've mentioned before — it's well worth having, as a lot of great apps (or free versions of otherwise pay apps) come out of those forums.
Android Injector [XDA Developers via XDA Developers Blog]