After you've typed 'loader.exe /nojvm', you get an "Application Loader Wizard" started. The first screen just says "blah-blah-blah Please ensure your device is securely connected and click Next". When you click Next on that screen, you get to a second screen with the text "Select communication port to which your device is connected" and a dropdown box titled "Connection". At this point you can insert the battery into the phone (the phone can be connected to the PC with a cable already). The red light on the phone should light up, and when you see PIN: and your PIN number in the dropbox, click Next. Then follow whatever prompts the Apploader is giving.
It may be wise to just go to bed (it's 3:30am here and I wish I could get some nap now), just don't forget to remove the battery from the phone, or it will go flat.