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Removing apps is a pretty basic function. You might want to check out the full LG Ally User Guide available online, since the phone doesn't really come with complete instructions in the box.
http://cache.vzw.com...g_ally/ally.pdf
The answer to your question is:
Settings > Applications > Manage Applications
From here, you will get a list of your current applications. Press on whichever one you wish to modify, and there will be a button to uninstall it.
Also, I'm not sure which app you think downloaded itself to your phone, but that isn't really possible. It may be an app that came pre-installed on the phone? In that case, they do not allow us the freedom to uninstall those. So if you go to the menu I've directed you to, and you don't see the app that you want to remove, that means it is one that can't be modified or removed. But, assuming this is an app that somehow did get downloaded, you'll be able to get rid of it.