Yes and no. Marketplace apps are encrypted, There for you need to download to a SD card and when you attempt to install them, they will connect to the marketplace and confirm your licence for the app.
Now, not trying to go into QUESTIONABLE content here. If the Dev does not upload it to the marketplace or finds away around the enctyption, you can "sideload" the app with the DEV kit and application deployment app in the SDK.
The best/easiet way to tell if a XAP is unencrypted is to download it, rename myapp.xap to myapp.zip and try to open it in Windows or WInzip. If it opens, you can side load it with the dev kit, if it give an error "invalid file" or something like that, it is ENCRYPTED and you need to put it on a SD to install. XAP files are just ZIP files but, when it hits the marketplace it's encrypted.
So everyone here knows, the attached link to the above XAP is unencrypted so you would need to Sideload it with the SDK...(BTW, The WP8 SDK requres Windows 8 x64 to run, so if your on Windows 7, your out of luck but, there is a hack on XDA how to install it on WIndows 7 BUT, it needs to be x64)
Does this clear it up for everyone ?