Nokia 3410 doesn't have either data cable or infra-red connectivity as it's an entry-level phone. Officially the only way to download MIDlets to the phone is through a GSM data connection to a dowload site (OTA, Over-The-Air).
Unofficially, there are some third-party data cables and software available, which allows you to download icons and sounds to the older entry-level phones (3310 & 3330) directly from a PC. These are not supported by Nokia. Somebody might try to figure out if these can be used to download MIDlets through serial cable to 3410. Any problems with that might mess up the phone and void the warranty, though.