There is also an overclock widget from freecoder that works well, but last I saw it didn't have the profiles setting that SetCPU does. I am a huge fan of SetCPU (I bought it, didn't I!), but it's never worked right on my Droid...the widget force closes about every 2-3 days. Same things happens on the Nook.
You need to have a file manager like Astro File Manager from the market. Then navigate to the apk file>click on it>then select open App Manager then install. Make sure in Nook Color Tools you have "Allow Non Market Apps" selected