If you are unable to install the application from the Android Market then the problem is most likely with Android Market or the device you are trying to install to.
Some problems may be resolve by rebooting the phone and trying again.
Sometimes there is a temporary problem with the market, trying again after some time can many times resolve the issue.
If you get an error similar to “could not be loaded on USB or SD card” then it is probably due to incorrect/corrupted temporary files from the Market.
A possible solution for this to first unmount your SD Card and then attempt to download the App from the market again while the SD Card is still unmounted, after it succeeds remount the SD Card.