There's two way:
1-If you've already installed Nokia PC suite, just double-click .jar files then click OK. A Messenger box "Install completed" will go out, telling you that the selected game is installed.
2-(only for Nokia s40 3rd Edition): Connect your phone to PC, select Data Storage Mode. Open your Memory card (Display as Removeable disk in My Computer), then copy .jar game & paste it here (or wherever you want on your card). Using this will save your phone memory (so limited on s40 3rd Edtion phone), but you've to play the game from your Memory card