Chris wrote a nice
tutorial on installing programs via your desktop and a .zip/.rar/setup.exe file.
As for the copy-to-Axim mode, that's pretty straightforward too. What I do is:
1) Download the ***.arm.cab file
2) Explore My Pocket PC
3) Navigate to a little-used folder - my favourite is \Temp
4) Drag and drop the .cab file to the \Temp folder
5) On your Axim, launch File Explorer
6) Navigate to the \Temp folder and tap your .CAB file
It will install the program and delete the original .CAB file!
The only disadvantage to this method is that it will install in your Main Memory only -- you're not given the option to install elsewhere as you are with Desktop-initiated installs...
HTH,