There's several different types of utils, games, applications, installers etc around. It may not be immediately apparent how they're installed - so here's how..
The auto-installer Identified by : "Installer Icon" (Box, disk, computer)
This is the probably the favoured option, and is delivered via a web-download to your PC. You then click on the installer and it'll do all the leg-work for you. These are easily identifiable - if you've downloaded one it'll have the "installer icon" - which looks like this...
All you need to do - in theory - is to ActiveSync your SmartPhone, click on the icon and off it goes. Sometimes, if your SmartPhone is quite full - you can have problems. See here on how to fix them.
The .cab file Identified by : ".cab" extension
The .cab file is a relative of .zip - this is where a lot of people go wrong. When the .cab file is sitting on your PC it'll have a "Zip" icon which leads a lot of people into un-zipping them to their PC and then copying the files across to the phone - NO! Don't do this dude! Don't forget that .cab files have information in them about where to install, so you should find a shortcut in your SmartPhones' program menu for the file after it's installed.
Here's how - this is just one way of doing it, I find it the easiest, and it applies to those with or without "All-Explorer"...
1) ActiveSync to your SmartPhone and browse to the directory shown below... (NOTE! On Windows Mobile 2003 "IPSM" is known as "Storage")
(Note - Skip this step if you've done these instructions before)
Create a folder in here called "To Install"
2) Here's my .cab file sat on my PC- see, it looks like a zip file - which is where the confusion comes in and some people un-zip it by mistake - don't !

Copy this file to the "To Install" folder you created in step 1
3) Now, grab your SmartPhone and browse to your new folder...
4) Just click on the .cab file - here I'm installing "smartvnc.cab" - so click on whatever it is you're installing.
5) Install it wherever (usually the Storage Card is best!) Note that after you've done this the .cab file will vanish and it'll no longer be in the "To Install" folder. You can remove the "To Install" folder too if you wish.
Other install methods Identified by : Zip / other Exe files
Some installs are just "zipped" and you have to do a lot of the work yourself. This is commonplace at the moment because the SmartPhone 2002 platform is fairly young and people are developing stuff and "Alpha / Beta" versions of software is being passed around as just plain .exe files (that can be copied directly across and run) or .zip files (which as previously mentioned get confused with .cab's sometimes..) It's easy to remember - .cab files know where to install and do a lot of work for you, whereas some .zip and .exe files don't, and they won't place shortcuts in the SmartPhones' program menu either. You have to do it all yourself! It's not that hard though...
Here's how I install them - again there's several different ways and means, but this I find the easiest.
1) If the file has a ".zip" extension, unzip it on your PC and copy the contents via ActiveSync to a folder on your Storage Card. For example, I'm going to copy a tiny .exe file called "FreeSpace.exe" across to a folder called "Utils" on my Storage Card.
2) Right - here's my utility, sitting in a directory on my Storage Card...
Now I "copy" it. Just right-click and choose "copy".
3) Now browse to this directory again... (NOTE! On Windows Mobile 2003 "IPSM" is known as "Storage")
I want to paste it into a folder called "Utils" on my phone, so I go into "Start Menu", then into "Utils" (or whatever folder you want - create a new one if you wish)..
Then I right-click and choose "Paste ShortCut"..
4) Rename your ShortCut - it'll be called "Shortcut to XXXX.exe" Just trim that crap out and the ".exe", make it tidy so it just says, "ProgramName" and nothing else
5) Now all I do is grab my SmartPhone, go to Programs->Utils (or whatever directory you put it in - if it was "Games", then go there. Here's my program...
You can also run programs like this via AllExplorer or SmartExplorer, just browse to the Storage Card (or where-ever) and run it. While this is fine, I like having shortcuts and being tidy.. :) Here's how you quickly run a program in All-Explorer...
Point, click - run.. Done.
The Java midlet Identified by : .jar or .jad file type
On newer versions of Windows Mobile there'll usually be a midlet manager. You can use an explorer program on your phone (some new smartphones have phone explorers built in). Copy your "jar" file over to \Storage\My Documents on the phone, then use your file explorer to run them!