It's quite a long-running complaint, and AAS has written several articles related to this, but it's still worth repeating: when is Nokia going to replace or reform their dreadful Download! service?
The shop, which appears as an icon on most S60 phone menus nowadays, is supposed to provide a means for browsing and purchasing games and apps straight onto the phone. It's a great idea, but as it stands Download! is a mess, and has been since it was set up a few years ago.
Download! is a really good idea, but it doesn't currently live up to its potential.