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I already have an installation using .alx/.cod files that we use to install our Blackberry application via Desktop Manager, and also an "over the air" install version consisting of a .jad file and .cod files (uncompressed and no larger that 64K as specified by the mime type) that is downloaded from our website.
What format should I upload the application to App World as?
I gather all the files should be in a zip file but apart from that I'm struggling to find much more information on the RIM website
Look at section 5 b in the App World FAQ.
It mentions among many other things, COD files. The plural is because, you need to submit a COD file for each OS version you are planning to support.
RIM has a document with the exact requirements for a submission bundle for an app for BlackBerry AppWorld:
"Contents of a .zip file for a release"