To clarify things: A program (shorthand for software and/or application) always is a file with extension .EXE - which might rely on additional helper files (i.e. system .DLL-files, etc). A .CAB-file is nothing else than a software archived (compressed) which should be (expanded) copied/installed on a mobile device.
1) Regarding .EXE-files:
You simply copy it onto mobile device's internal and/or external storage memory and run it/them from there.
2) Regarding .CAB-files:
It exists a WinCE application called cabinstl_en.exe that is available free on the web. It installs .CAB-files and prompts you about where to place the installed application.
Note that a .CAB-file packaged for Windows Mobile never installs in Windows (Embedded) CE
FYI: Downloading a .CAB-file to install onto your mobile device can be a pain – after downloading the .CAB-file to your desktop, you need to first copy it to your device, then find the .CAB-file to install and then proceed to install it.
The mentioned CABviaActiveSync is a simple, free Win32 program that adds a context menu to automatically parse the .CAB-file on your desktop and install it via Activesync. This can save you a bunch of steps and is incredibly handy if you are like me and are always installing/uninstalling programs to check out.
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