Are you asking about how to put an app you've already written on some phone (which phone)?
If you already have the app, depending on the phone there are many ways to put it there:
- send it over infrared
- send it over Bluetooth
- put it on a memory card
- install it with PC Suite
- send it as an email attachment
- send it as an MMS
- put it on a web or WAP server for the phone to download
- depending on the application, the phone manufacturer can even put it on the phone at the manufacturing phase, if the manufacturer sees the need for it.
Or are you asking about how to first write an app? In that case, get a book about Mobile Java application development (J2ME, MIDP), download SDKs (Software Development Kits) from http://forum.nokia.com and/or http://java.sun.com and read the documentation, whitepapers, tutorials, source code of sample apps, etc.