IF your phone is locked that just means it will only work with a SIM from the carrier you got the phone from. If you purchased the phone from a retailer and not from a cell phone carrier then chances are it is already unlocked.
Locking is only related to who's SIM card the phone will accept and has no relation to the ability to install applications.
The problem you are having is probably due to the Symbian OS in your phone requiring apps be 'signed'. Basically the OS will not let you install a program unless it was expressly approved by and licensing fee has been paid to Nokia.
You can easily work around this however. If you follow the direction posted in this thread (
http://www.n95users.com/forum/softwa...gned-apps.html ) you should be able to install any applications with no problems.
Even with your phone modified to allow unsigned apps you may still occasionally run into a problem. If the applications 'certificate' is out of date then you might have to change the date on your phone to an older date in order to install the app. Once the app is installed you can change the date back to the correct date.
Hope this helps get you started and take some time to read around the forum. Lots of good info here.
DW