Hi kkttsang and welcome.
TO install programs there are two routes.
1. Install Microsoft ActiveSync (On the companion CD or from Microsofts website) and sync your PDA with your computer. Now run the exe file to install the Pocket PC software.
2. Extract the cab file from the installation folder(some come as just cab files and require this method) and transfer it to your PDA, either main memory, filestore, or storage card. Find the cab file on the PDA and then run it, either use it as is or download
cabinstall and use that to install it to where you want it installed.
Hope that helps and clears it all up.