Yeah, that's possible.
It's just a .cab file, so if you click it, it will install to default location. If you want to install it somewhere else though, you'll need 'cabinstl' from here :
http://s-k-tools.com/freeware/cabinstl.zip
You need to unzip this file, copy the .exe to your axim, and run it, and tick the 'associate with .cab files' box. Then you can exit this, and next time you try to run a .cab file, it will ask you where you want to put it.
TBH though, it would be probably easier just to use the activesync installer from the TCPMP site - cab files are generally only used when you don't have access to a PC from which to run the activesync installer.