I've installed PocketCandy screensaver.
It had to go into main memory (wouldn't work on the SD or CF card).
The screen savers can be any .exe file that lives in your /windows directory, except the .exe files must be renamed to .scr files.
To get my iPhone look alike screensaver/clock going, I'd have to install slide.exe to /windows (and rename it to slide.scr). I'm going to try to rename slide.lnk to slide.scr and see what happens (except I'm having actice sync probs - I always have activesync probs)