By installing, run them in filebrowser, or drop them on phone-icon in Ovi Suite.
(I assume you got Ovi Suite)
This will give you the installation-dialog which isntalls all apps to appear in menu.
Nokia 5800 has an upgraded Java, thats a little exception though..
You also need to choose which memory you want it on.
Most errors that appears can appear because the app is not "signed", or the certificate is out of date.
This signing is made by implementing a .cert and .key file in the .sis or .sisx.
Unsigned apps can only be installed if its signed or you install on a hacked phone.
About the difference of .sis and a .sisx file, they are the totally same.
.cert and .key files can be requested at this forum, and with an application named FreeSigner you can sign the files.
You can ask others about details on that too..