Okay...so from the zip file select it and extract all the files. You should see an .alx extension coupled with a java folder. You will need to make a copy of the .alx extension and paste it inside the COD folder.
Be sure to make a backup.
After that, I would run the loader in this fashion.
Open MyComputer>>LocalDisk C>>Program Files>>Common Files>>Reasearch In Motion>>AppLoader>>Loader(looks like a picture of a phone) this is a superior way of trying to install OS/Applications in IMO. Be sure your device is connected to your PC. Now run the Loader.exe and let the application wizard bring you to the Device configuration screen. The next screen that should present itself will be the Device Application Selection screen. If the new messenger has not populated with the rest of the applications, there is a tab that reads "Add". Select this tab. Now you will need to navigate to the place on your PC that you copy/pasted the .alx extension. From here select that .alx extension that you copied and not the one you pasted into the COD folder.
See if this get the job done.