Your question isn't specific about what you want to put on the Tilt, but in general to install programs, after you download you open the exe file, and it will ask if you want to install to the device. when you say yes, it will install using active sync and ask if it should install to the device or the storage card. As to MP3 files, you use Explore on Active Sync, click the folders tab, and drag and drop the MP3 files to the device, generally to My Music on the storage card. Hope that helps, and a good place for some help is at:
HTC: Home and use the tutorials for the tilt