For a regular install file, all you have to do is click on it from your PC and it will self-install onto your Axim. You just have to make sure you are connected to your Axim via ActiveSync. For CAB files, you will need to copy it over to a location on your Axim (using Explore) and from the Axim, tap on it and it will self-install. There are also some apps that do not require installation at all. These are self-contained .exe files that you just move to your Axim. When you tap on them there, the program will run.
For more details check out the tutorial on installing software. The link is in my signature.
BTW, welcome to Aximsite!