No, different phones load MIDlets differently. Often the phone comes with some PC software (e.g. Nokia PC Suite) that allows you to synchronize the calendar & contacts and download MIDlets to the phone using serial cable, infra-red or Bluetooth. In some it's as simple as sending the MIDlet files to the phone over infra-red or Bluetooth 'OBEX' file transfer.
Most phones support downloading MIDlets from the Internet using their built-in Web or WAP browsers. See the
thread here with subject "
how to install a midlet" for information on how to do this using a WAP WML page.
Again, we can probably help you if you need to know the procedure for some specific phone model.