I am trying to distribute my application to some people for testing. I have installed it on my Desire directly from eclipse and it works fine.
To create an APK-file,
I did not know that even with the "Allow Installation of non-Marked application", I still needed to sign the application.
I self-signed my application, following this link self-sign and release application, It only took 5 minutes, then I emailed the signed-APK file to myself and downloaded it to SD-card and then installed it without any problem.