You need to choose the right variant of GpsMid for your phone. If you are unsure, try <GpsMid-Generic-full-0.8-map72> or read the Wiki page http://sourceforge.net/apps/mediawiki/gpsmid/index.php?title=DevicesList where users have collected their experiences with different phone models.
Download the right JAR and JAD file for your variant and copy it to your phone. The files are signed and the signature is in the JAD. The installation process differs from phone to phone. Usually you install by selecting the JAD file and choosing the right menu entry from its context menu.
<Osm2GpsMid-0.8-map72.jar> is needed to create the binary map data for GpsMid. Java 1.5 or later must be installed on your PC to run it. The process is explained here: http://sourceforge.net/apps/mediawiki/gpsmid/index.php?title=Getting_started
<Osm2GpsMid-0.8-map72-debug.jar> creates debug versions of GpsMid. Normally, you won't need to use it.
Alternatively, you can download pre-built map data from http://gpsmid.sourceforge.net/prebuild/.
The ZIP files you find there contain the map data. Copy the one you want to your phone and configure GpsMid to read from this file in Setup -> Map source.
On many devices, it's preferable to unpack the contents of the ZIP archive first because reading from the ZIP increases the memory consumption of GpsMid.