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Key Words You Need to Know:
OTA - Over The Air is. This means you can download the application via your BlackBerry browser and install directly to your BlackBerry. You do not need BlackBerry Desktop Manager for the 'ota download'.
App - Application. Just like you can install additional software to your computer / laptop, you can install additional software to your BlackBerry. A software program for your BlackBerry called 'applications'.
RIM - Research In Motion. The company that makes BlackBerry.
BlackBerry Desktop Manager - CDs and software programs that come with the BlackBerry. It runs on your PC and allows you to do all sorts of things with your BlackBerry, such as backup all your data, install new applications, etc.
3rd Party - This is when a company has made an application in addition to RIM's BlackBerry. RIM does not make multiple applications for your BlackBerry (such as Facebook applications, Flickr and applications, but most BlackBerry applications made by other companies. Usually they will make a profit by selling their applications, but sometimes offer them for free. Sometimes they also offer basic applications and upgrades free 'premium' version for a fee.