Really? Yes. This is the number one asked question in our forums and at XDA (and I know more people are too afraid to get flamed for asking it). 

Let’s start with the types of files. You’ll either get a cab or an exe file. In either case you can move them to your phone over ActiveSync and then run them from there. If you’re too lazy you can email them to yourself (but then you need to save them to your phone and run them from there since you cannot run a cab within email itself). To install, all you do is open the file and the phone does all of the work. As far as installation location I recommend installing applications that are used frequently to the main memory (like Slide to Answer) and put lighter applications (like games and Google Maps) onto the memory card. A cab will ‘install’ whereas an exe will just run (ex: a cab adds itself to the Programs directory generally whereas an .exe is just a single press and run application). Cabs are much more frequently found.

Ok, now for the fun. Now that you know how to do it let’s make it easier to do. Simply install cabviaactivesync onto your PC and then when you have a cab file located on your computer you just right lick on it and go to ‘cabviaactivesync’ in the menu and next time you connect your phone to your PC it will install the application onto your phone.  Your phone will just ask you which location you want to install that application to. If you want to uninstall the application in the future you can do this over ActiveSync as well by going into Programs and Services – More – Add/Remove Programs and just unchecking the box next to the application will uninstall it from your phone.

CabViaActiveSync was created by the guys at Modaco and it’s really a great timesaving app.  You should keep a catalogue on your comp of the cabs you use (as opposed to the ones you tried and discarded:))