This is one of the main reason I ditched my Nokia 6230i for the W800i, installing Java Applications on the phone.
On the Nokia 6230i, installing Java Applications is not possible without the Clunky and rubbish Software that comes with it. Installing the Nokia Suite destabilised my system and removing it meant I ended up having to reinstall windows, not a happy customer,
But Sony has a better alternative. Infact Loading music and java applications on the Sony Ericsson is as simple as putting them in the right folders on the memory card (yes I know its a memory stick).
For Java Applications, I normally copy the jar files into the Other Directory in “\MSSEMC\Media files\other\”
When you put your memory stick back into the phone, just go to the “menu > File Manager > Other” and all your java applications will be there, just select the application you want to install and press install, it will ask you which folder to install application to (normally its games or applications folder) and it will do the rest.
Once I had over 200 java applications and I wanted to find out which games I wanted, I just loaded all of the jar files into the other directory and went through the applications, I will install the applicaiton test it if I like it I keep it, If I dont, I delete it from the directory I installed it into, then I will delete it from the other directory. This made my journey home on the train from work interesting for a while; I did had to put it on silent or use the headphones to avoid disturbing others on the train.
Also I do not install the Sony Application, Not because I dont trust them, but I believe It should be simple and not require additional software which sony has made possible.