The first thing to remember is that you need to generate an alx file. Either right-click on the project in the "Files" window or under "Project" in the toolbar.
Then start Desktop Manager. (I have found that sometimes it helps to use the version of Desktop Manager on the CD that comes in the box with your Blackberry.)
Then "Application Loader". Then "Add" and browse to the alx file and select it. Then confirm that the checkbox is ticked and "Next".
It helps if you have a "Title" and a "Version" in your project properties under "General" . Also an "Output File Name" under "Build". That way Desktop Manager can tell you which file is which rather than a list of blank lines!