How to install third-party apps into windows phone?

I am very comfortable using android phones. I could install external apk files, sending files, locating Bluetooth folders were all cake walk. Now, with my new windows Phone, these things are little clumsy and difficult to understand. I am already trying to install third party apps as I know the best use of mobile is when we use the apps from the market or third party than relying on default apps. I think it is like ms paint and Photoshop. However, I want to become good in windows phone. Can i have a detailed description about how to on my above doubts? Thank you for showing concern.