OK, I just tried installing it and I had no problems. Are you using an .exe file to install? I got mine from
Handango (trial version). I downloaded it to my PC and WHILE my Axim was synced, I clicked on the .exe file. I just followed the prompts and the file automatically installed to my Axim. To run the program, I went to Start - Programs and tapped on the Pocket Stars icon.
If you have problems installing files, take a look at the tutorial called Installing, Running and Uninstalling Software. The link is in my signature.