If you are trying to install another application (like an add-on or additional data), you should publish the add-on on the market, and use intents to ask the market to take over the download and install process of the additional data.
Installing to the SD card can't be done via the API's, as far as I am aware, you can only install applications to the device's internal memory. Downloading additional data should either be done via the market as an APK, or just download a zip with your App and install the additional data to the SD card that way.
You will need the WRITE_EXTERNAL_STORAGE permission like moritz suggests if you are writing to the SD card in any way.