The link to donwload TCPMP is
http://tcpmp.corecodec.org/about
Just go to the website and go under the download section.
I would suggest you download the main program and also the plugins to enable you to watch/listen to more formats.
It's all on the download page. You can't miss it.
Installing it is just a matter of putting your Axim in the cradle and double clicking the .exe files. You can also install it using .cab files. Just copy the .cab files onto your Axim through the explore button in the Activesync program on your computer. Once copied onto the pocketpc, just go to your pocketpc and use file explorer to locate the .cab file and tap on it. That should be it. I'm assuming you're using X51 though. I'm not too sure if tapping on the cab file will work for WM2003Se as I have never used it.