CAB files you copy directly to the device, then tap then and they open up and install.
EXE files you download to your computer, select them ON YOUR COMPUTER and an installation wizard opens up and walks you through the rest of the installation.
JVM/JRE need a Java machine to be installed on the device before you can do anything with them. The hx4700 does not have a Java machine on it, so for the time being just don't try to install java applications on the device.
For more detailed instructions, see this article, "
I bought a piece of software, now what do I do?"