Do you mean a jailbroken app? If so, you would have needed to use either Cydia or Rock in order to download the app. Are you sure that it is meant to be on an iPhone? What app is it?
My son has a couple of friends that he's not supposed to be with. I downloaded software called cell-control to monitor his text messages. the site says it works on the iphone but i can't figure out how to get it uploaded to the iphone.